VIX average monthly changes are larger and more variable in February and July–October (VIX since Jan 1990; VIXY since Jan 2011; SVXY since Oct 2011; all through Jun 2024); VIXY and SVXY show mirror-image seasonality (descriptive; not a trading test).
Does the CBOE Volatility Index (VIX) exhibit exploitable seasonality? To investigate, we calculate by calendar month and compare average monthly:
Using monthly closes of VIX since January 1990, monthly split-adjusted closes for for VIXY since inception in January 2011 and monthly split-adjusted closes for SVXY since inception in October 2011, all through June 2024, we find that:
Asset Class ETF Seasonalities? PremiumAverage monthly returns for nine asset class ETFs (SPY, IWM, EFA, EEM, TLT, LQD, VNQ, GLD, DBC) are mostly positive in April, July, November…
Style Performance by Calendar Month PremiumStyle ETFs show modest monthly return differences versus SPY, with value outperforming growth in Mar/Apr/Dec and growth leading in Oct/Nov (Aug 2001–Oct 2021; 20-year…
Sector Performance by Calendar Month PremiumAverage returns and return dispersion across nine Select Sector SPDR ETFs (XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY) differ somewhat by calendar…
“Sell in May” Over the Long Run Premium"Sell in May" stocks underperformed November-April stocks (CAGR not specified vs buy-and-hold benchmark; Apr 1871–Apr 2021; seasonal timing with 1% trading costs; S&P Composite…
Stock Market Continuation and Reversal Months? PremiumCalendar-month correlations between S&P 500 and Russell 2000 monthly returns and prior 3-, 6- and 12-month returns show unstable continuation/reversal patterns across subperiods and…
