Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for July 2020 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for July 2020 (Final)
1st ETF 2nd ETF 3rd ETF

Does the Turn-of-the-Month Effect Work for Sectors?

| | Posted in: Calendar Effects

A reader inquired whether the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, works for U.S. stock market sectors. To investigate, we measure turn-of-the-month (TOTM) returns for the nine sector exchange-traded funds (ETF) defined by the Select Sector Standard & Poor's Depository Receipts (SPDR), all of which have traded since December 1998:

  • Materials Select Sector SPDR (XLB)
  • Energy Select Sector SPDR (XLE)
  • Financial Select Sector SPDR (XLF)
  • Industrial Select Sector SPDR (XLI)
  • Technology Select Sector SPDR (XLK)
  • Consumer Staples Select Sector SPDR (XLP)
  • Utilities Select Sector SPDR (XLU)
  • Health Care Select Sector SPDR (XLV)
  • Consumer Discretionary Select SPDR (XLY)

We define TOTM as the eight-trading day interval from the close five trading days before the first trading day of a month to the close on the fourth trading day of the month. Using daily dividend-adjusted closes for the sector ETFs and for S&P Depository Receipts (SPY) as a benchmark from December 1998 through mid-May 2020, we find that:

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Login
Daily Email Updates
Filter Research
  • Research Categories (select one or more)