Calendar Effects

Are some years of the decade better than others for equity markets? To investigate, we look at average annual returns by year of the decade (xxx0 through xxx9) for the U.S. stock market. Using annual levels of Shiller’s S&P Composite Index for 1871-2025 and the S&P 500 Index for 1928-2025, we find that: Keep Reading

Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League’s Super Bowl. Is the week before the Super Bowl especially distracting and anxiety-producing? Is the week after the Super Bowl focusing and anxiety-relieving? Presumably, post-game elation and depression cancel between respective fan bases. Using past Super Bowl dates since inception and daily/weekly S&P 500 Index levels for 1967 through 2025 (59 events), we find that: Keep Reading

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy.

We have updated the Trading Calendar to incorporate data for January 2026.

The full-year Trading Calendar indicates that the U.S. stock market has three phases over the calendar year, corresponding to calendar year trading days 1-84 (January-April), 85-210 (May-October) and 211-252 (November-December). What are typical stock market returns and return variabilities for these phases? Using daily S&P 500 Index closes from the end of December 1927 through December 2025, we find that: Keep Reading

Does the New Year’s Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into U.S. stock market returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the five trading days before and the five trading days after the holiday. Using daily closing levels of the S&P 500 Index around New Year’s Day for 1951-2025 (75 observations), we find that: Keep Reading

Does the Christmas holiday, a time of putative good will toward all, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during five trading days before through five trading days after the holiday. Using daily closing levels of the S&P 500 Index for 1950-2024 (75 events), we find that: Keep Reading

How material is the rebalance timing luck (RTL) induced by picking a trading day to reform a monthly stock momentum strategy? Is there a way to manage the risk of bad luck? In their November 2025 paper entitled “The Tranching Dilemma. A Cost-Aware Approach to Mitigate Rebalance Timing Luck in Factor Portfolios”, Carlo Zarattini and Alberto Pagani investigate monthly momentum portfolio tranching, holding multiple portfolios with the same strategy but with different reformation cycles, as a way to manage RTL. Their test strategy each month:

1. Identifies the 1,000 most liquid components of the Russell 3000 Index.
2. Finds the 100 stocks with highest total returns from 12 months ago to one month ago.
3. Reforms an equal-weighted portfolio of the 20 out of these 100 stocks with the highest momentum quality based on the percentage of days with positive and negative returns during the ranking interval.

They run this strategy with reformation cycles from the close on trading day one of each month to the close on trading day 20 (or last) of each month. They then consider effects on RTL of holding 2, 4, 5, 10 and 20 tranches across these cycles. They assume portfolio reformation frictions as standard Interactive Brokers fee of $0.0035 per share with minimum $0.35 per trade (doubled for sell transactions to account for SEC clearing fees). Using daily data for Russell 3000 Index components during 1991 through 2024, they find that:

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Does the Thanksgiving holiday, a time of families celebrating plenty, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the three trading days before and the three trading days after the holiday. Using daily closing levels of the S&P 500 Index for 1950-2024 (75 events), we find that: Keep Reading

Are some calendar months more likely to exhibit stock market continuation or reversal than others, perhaps due to seasonal or fund rebalancing/reporting effects? In other words, is intrinsic (times series or absolute) momentum an artifact of some months or all months? To investigate, we relate U.S. stock index returns for each calendar month to those for the preceding 3, 6 and 12 months. Using monthly closes of the S&P 500 Index since December 1927 and the Russell 2000 Index since September 1987, both through September 2025, we find that: Keep Reading

Is there a reliable and material market capitalization (size) effect among U.S. stocks around the turn-of-the-year (TOTY)? To check, we track cumulative returns from 20 trading days before through 20 trading days after the end of the calendar year for the Russell 2000 Index, the S&P 500 Index and the Dow Jones Industrial Average (DJIA) since the inception of the Russell 2000 Index. We also look at full-month December and January returns for these indexes. Using daily and monthly levels of all three indexes during December 1987 through January 2025 (38 December and 38 January observations), we find that: Keep Reading