Calendar Effects
How stock returns behave around holidays, days of the week, turns of the month, months of the year and recurring events, tested on long market histories.
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- SPY by Day of the Week and Overnight SPY overnight returns exceed intraday returns on average but effect is unstable across subperiods (Jan 1993-Aug 2017; close-open vs open-close returns; 6,188 observations with Tuesday showing strongest differential).
- Stock Market Behavior Around Mid-year and 4th of July S&P 500 shows modest positive bias around mid-year through July 4th (0.087% vs 0.036% average daily return; 1950-2024; 10-day windows), but inconsistencies across subperiods undermine reliability.
- Stock Returns Around Christmas S&P 500 shows modest strength from one trading day before through a few days after Christmas, though noise generally dominates signal (1950-2024; 75 events; daily returns vs 0.036% average).
- Stock Market Returns Around Labor Day S&P 500 shows modest strength one day before Labor Day but recent data undermines the pattern, with noise dominating any signal (1950-2024; daily returns; 75 observations).
- Crude Oil Seasonality WTI crude oil shows March-May strength and November-December weakness, but high volatility (6.7%-14.2% monthly standard deviations) inhibits exploitation (1986-2020; USO results differ from underlying patterns).
Holidays
8 articlesReturns in the days before and after market holidays and other dated events.
- Stock Market Returns Around Labor Day S&P 500 shows modest strength one day before Labor Day but recent data undermines the pattern, with noise dominating any signal (1950-2024; daily returns; 75 observations).
- Stock Returns Around Memorial Day S&P 500 Index shows little anomalous behavior around Memorial Day, with daily returns averaging near the 0.036% baseline across the M-3 to M+3 window (1950-2024; 75 observations; event study methodology).
- Stock Returns Around Easter Does the seasonal shift marked by the Easter holiday, with the U.S. stock market closed on the preceding Good Friday, produce anomalous returns? To investigate, we analyze the historical behavior…
- Stock Market and the Super Bowl S&P 500 averaged +0.51% the week after the Super Bowl versus 0.02% the week before (1967–2025; 59 events; weekly returns; descriptive, not a trading test). Standard deviations of 2.20% and…
- Stock Returns Around New Year’s Day S&P 500 shows abnormal strength from one week before through two days after New Year's Day, followed by a fade, though noise generally dominates signal (1951-2025; daily returns; 75 observations).
- Stock Returns Around Christmas S&P 500 shows modest strength from one trading day before through a few days after Christmas, though noise generally dominates signal (1950-2024; 75 events; daily returns vs 0.036% average).
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- Stock Market Returns Around Holidays in Aggregate Is the behavior of the U.S. stock market around exchange holidays consistent enough to generate an aggregate pattern? To investigate, we look at daily S&P 500 Index returns from three…
- VIX and VXX Behaviors Around Holidays VIX jumps 1.5% on average the day after holidays but VXX does not capitalize on this pattern, suggesting futures traders anticipate the spike (VIX 1990–2016, VXX 2009–2016; 214 and 62…
Days of the week
9 articlesWeekday and weekend patterns.
- Bitcoin Day-of-the-Week Effects? Bitcoin average daily returns differ by day of week, with Monday strongest and Sunday, Tuesday and Thursday weakest, but differences are small relative to standard deviations and inconsistent across years…
- Momentum Based on Day of Week Same-Weekday Momentum (daily-reformed, value-weighted decile hedge on past same-weekday returns) generated 2.05% average gross monthly return vs 1.28% for Standard Momentum (U.S. stocks, 1963-2021; gross of trading costs).
- SPY by Day of the Week and Overnight SPY overnight returns exceed intraday returns on average but effect is unstable across subperiods (Jan 1993-Aug 2017; close-open vs open-close returns; 6,188 observations with Tuesday showing strongest differential).
- VXX and XIV Returns by Day of the Week VXX returns are uniformly negative and most negative on Mondays/Tuesdays, while XIV shows the opposite pattern with positive returns largest early week (VXX Feb 2009–Jul 2017; XIV Dec 2010–Jul 2017;…
- Anomalies by Day of the Week Sentiment-sensitive U.S. stock anomaly returns vary systematically by weekday, with speculative stocks underperforming Mondays and outperforming Fridays (July 1963–Dec 2013; 14 anomalies; descriptive correlational study).
- VIX Day-of-the-Week Effects VIX exhibits day-of-week patterns with Monday elevation and Wednesday/Friday depression, showing U-shaped weekly changes after outlier control (2004-2008; S&P 500 shows no significant weekly effects).
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- Any Stock Market Anomalies Around 3-day Weekends? S&P 500 shows weak tendency toward strength before three-day weekends and weakness after, but patterns lack consistency across subperiods and months (1950-2011; 351 three-day weekends; daily returns analysis).
- Any Recent Day-of-the-Week Anomalies? Day-of-week S&P 500 return patterns show high variability across subperiods, undermining exploitable anomalies (1981-2010; 7,301 daily returns; holiday-adjusted close-to-close analysis).
- Weekend Effect for Individual Stock Options? Individual stock options show a weekend effect with Friday-Monday returns averaging -0.62% versus positive returns on other days (Jan 1996–Jun 2007; equally weighted portfolios; statistically significant for puts and calls).
Time of day and overnight
22 articlesOvernight versus daytime returns and the first and last hours of trading.
- Live Test of the Stock Market Overnight Move Effect (Final) NightShares overnight ETFs NSPY and NIWM trailed their benchmarks SPY and IWM, with negative average daily returns but lower volatility (June 28, 2022–July 31, 2023; daily total returns; both funds…
- Robustness and Exploitability of Intraday Stock Return Prediction Machine learning models predicted intraday returns of SPY, sector ETFs and S&P 500 stocks, with net Sharpe ratios up to 2.21 for ETFs and 3.79 for long-short stock portfolios at…
- Morning Momentum and Afternoon Reversal for Stock Returns Equal-weighted long-short deciles formed on past afternoon returns earned higher gross monthly returns than conventional 1-month reversal (0.79% vs 0.48%), while morning-return ranking matched conventional momentum (1.05% vs 1.06%; U.S.…
- Overnight Effect Important for Investors? The overnight-minus-intraday return gap in stock index ETFs and some individual U.S. stocks weakened over the past 5-10 years (1995-May 2022; 5-year rolling gross long-short returns on SPY and S&P…
- Overnight Effect Across Asset Classes? Overnight (close-to-open) returns exceeded open-to-close returns for most non-equity ETFs, strongest for EMB and VNQ and absent for TLT and EFA (SACEMS ETF proxies; Dec 2007–Mar 2022; gross of trading…
- Combining Overnight and TOTM Effects A SPY turn-of-the-month close-to-open strategy (long close-to-open only during TOTM, cash otherwise; eight round-trips monthly) earned 0.0% net CAGR with -39% MaxDD at 0.06% friction per round-trip (Feb 1993–Feb 2022;…
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- Persistence of Overnight/Intraday Equity Market Return Patterns Overnight returns exceeded intraday returns in 20 of 21 major stock indexes, with China the lone exception, and overnight accounted for nearly all cumulative gross returns (Jan 1990–Dec 2021; close-to-open…
- Middle-of-the-Night Stock Market Gains S&P 500 futures show 3.6% annualized return during 2-3am ET but turn negative after bid-ask spreads, while 8:30-10am ET averages -3.9% annually (1998-2018; hourly return decomposition).
- Recent Overnight-Intraday Stock Return Correlations Overnight-intraday stock return reversal weakened over 2011-2017, disappearing among S&P 500 stocks while persisting only in smaller stocks (broad U.S. stock sample; correlation analysis).
- Day and Night Stock Returns Worldwide Day returns outperformed night returns globally (10.5% vs 5.4% annualized; 1993-2011; 48,413 stocks across 35 countries), but the effect concentrated in 1993-1998 with night returns dominating 8 of 13 years…
- Overnight Momentum-informed Overnight Trading Overnight Bias Portfolio (stocks with significantly positive overnight momentum) outperformed market portfolio (25.9% vs 10.0% annualized; 1995-2014; monthly OBP sorts, value-weighted; ~20% of reasonably liquid U.S. stocks).
- Momentum Happens at Night? Intermediate-term momentum returns occur overnight (0.89% vs -0.18% monthly), while value and size effects occur intraday (1993-2013; cap-weighted decile strategies; broad U.S. stocks excluding smallest quintile).
- Recent Intraday U.S. Stock Market Behavior S&P 500 intraday patterns show no stable return patterns across recent months, though volatility remains elevated at market open/close as in 2007-2008 (Aug 2012–Sep 2014; 5-minute intervals; descriptive analysis).
- First and Last Half Hours of Trading Linked? SPY first half-hour returns predict last half-hour returns with R-squared 0.018 out-of-sample, generating 6.3% vs -0.5% gross annual return (Jan 1999–Dec 2012; hold SPY when first half-hour positive, cash when…
- First and Last Hours of Trading Last-hour SPY returns modestly negatively correlate with next-day returns (-0.12 to -0.19; 2007-2008; ~500 observations), driven by distribution tail effects with high standard deviations inhibiting exploitability.
- Intraday U.S. Stock Market Behavior SPY exhibits weak mid-afternoon decline patterns and higher volatility near open/close versus midday (2007-2008; one-minute prices; average returns too small to exploit as standalone strategy).
- The Lure of Trading at the Open? High-attention stocks exhibit overnight returns of 0.1% that reverse -0.07% intraday, with effects strongest for illiquid stocks (0.4-0.6% overnight, -0.4 to -0.7% reversal; 1996-2008; 3,000 largest US stocks).
- Do Not Trade at the Open? "Does it really help to wait a half hour (or whatever) before trading?"
- Abnormal Returns from Providing Liquidity After Hours? After-hours price changes reverse 40%-65% at market open when trading volume is normal, with larger reversals for small-cap stocks and negative returns (2006 U.S. exchanges; liquidity provision strategy).
- Intraday/Daily Stock Return Patterns Intraday returns of NYSE stocks show a recurring 13-hour (one trading day) cycle, with reversals at other intervals (2001–2005; 13 half-hour intervals; cross-sectional); hedge strategies exploiting it lose money after…
- Buy at the Close and Sell at the Open? Overnight returns outperformed daytime returns for S&P 500 stocks (0.028-0.048% vs -0.028-0.002% average; 1993-2006; four intraday periods; transaction-level data with first trading hour showing consistent declines).
- Trade Against Overnight Moves? Overnight stock returns exhibit statistically significant negative correlation with next-day returns (-0.22; 1994-2005; NYSE/AMEX/NASDAQ), strongest for small-cap stocks, but trading costs likely prevent exploitation by non-specialists.
Turn of the month and year
27 articlesReturns at month ends, month starts, quarter ends and the turn of the year.
- U.S. Stock Market End-of-Quarter Effect S&P 500 quarter-end (QEND) 8-day windows showed modestly higher average returns than turn-of-the-month windows, with Q3 consistently weak across subperiods (daily closes, Jan 1928–mid-Aug 2026; QEND/TOTM comparisons; descriptive, not a…
- Turn-of-the-Month Effect for Currencies? Turn-of-the-month (eight trading days centered on month-end) average abnormal returns for UUP, FXE and FXY versus all eight-day intervals were very small, with no material effect (inception–mid-July 2026; dividend-adjusted daily…
- Does the Turn-of-the-Month Effect Work for Asset Classes? Average abnormal turn-of-the-month returns across 10 asset class ETFs (vs all eight-trading-day intervals) were 0.4% in first sample halves versus 0.1% in second halves and last fourths (inceptions 1993-2007 through…
- Does the Turn-of-the-Month Effect Work for Sectors? Average abnormal turn-of-the-month returns across nine Select Sector SPDR ETFs declined from 0.6% (first half) to 0.1% (second half) and 0.0% (last fourth) (Dec 1998–mid-Aug 2026; eight-day TOTM vs all…
- Stock Market Behavior Around Mid-year and 4th of July S&P 500 shows modest positive bias around mid-year through July 4th (0.087% vs 0.036% average daily return; 1950-2024; 10-day windows), but inconsistencies across subperiods undermine reliability.
- Comparing Intra-month S&P 500 Index Behaviors The Trading Calendar has links to charts of average month-to-date return for the S&P 500 Index (SP500) by trading day during each month of the year. How do these cumulative…
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- U.S. Stock Market Performance by Intra-year Phase S&P 500 returns tend to be weakest and most variable in May–October and strongest and least variable in November–December (daily closes, Dec 1927–Dec 2025; by-phase averages and standard deviations; descriptive,…
- Managing Rebalance Timing Luck Rebalance timing luck for a monthly Russell 3000 momentum strategy (20 top-quality stocks from the top 100 momentum names among the 1,000 most liquid) is a 3.5% CAGR spread between…
- Variability in Stock Market Intra-month Behavior Does the U.S. stock market, as proxied by the S&P 500 Index (SP500) exhibit much variability in intra-month behaviors by calendar month? To investigate, we compare average daily cumulative SP500…
- Exploiting Predictable Institutional Portfolio Rebalancing A strategy trading E-mini S&P 500 and 10-year T-note futures ahead of 60/40 Threshold and Calendar rebalancing outperformed both markets (gross Sharpe 1.08 vs 0.38 stocks, 0.50 bonds; Sep 1997–Mar…
- Turn-of-the-Month Effect Applied to SSO Holding SSO only during the eight-day turn-of-the-month window (TOTM) had lower net CAGR than buy-and-hold SSO (11.0% vs 13.8%; Jun 2006–Apr 2024; 0.1% one-way switching frictions) but a shallower monthly…
- Long-term SMA and TOTM Combination Strategy SMA200 or TOTM (hold SPY above its 200-day SMA, otherwise only turn-of-month days, cash at other times) ranked first by CAGR and Sharpe ratio among four strategies including SPY buy-and-hold…
- Turn-of-the-Month Effect Persistence and Robustness S&P 500 turn-of-the-month returns (close 5 trading days before to 4 after month-end) averaged 0.68% vs 0.24% for all eight-day intervals (Jan 1928–early Jan 2024; raw returns; descriptive; not a…
- Effects of Execution Delay on SACEVS SACEVS (value-premium allocation across SPY/TLT/LQD/cash) shows modest performance variability with execution delays up to 21 days post-signal, with no material harm through 7-day delays (Jul 2002–Jan 2020; monthly rebalancing).
- Effects of Execution Delay on SACEMS SACEMS execution delays consistently degraded performance, with all 22 delayed variations underperforming baseline end-of-month execution (Top 1: 3.2% vs 7.1% average CAGR; Feb 2006–Jan 2019; 4-month momentum).
- Rebalance Timing Noise Rebalance timing materially affects 60-40 performance, with 0.36% standard deviation across monthly schedules (8.49% vs 8.27% annualized return for May vs October; Jan 1922–Jun 2018; equally weighted staggered portfolios suppress…
- U.S. Equity Turn-of-the-Month as a Diversifying Portfolio TOTM portfolio (buys last trading day, sells 3rd day of next month) generates 2.4% average annualized net CER as diversifier across asset allocation methods (Jul 1961–Dec 2015; 0.50% equity trading…
- Turn-of-the-Year Effects on Country Stock Market Value and Momentum Country-level value strategies underperform in December and outperform in January, while momentum shows the opposite pattern (0.32-0.96% monthly value returns, 0.64-0.74% momentum; June 1995-May 2015; but statistically weak significance).
- Year-end Global Growth and Future Asset Class Returns Fourth quarter global industrial production growth exhibits a statistically significant negative relationship with next-year real returns across asset classes, with 1% higher Q4 growth indicating 3.1% lower world equity returns…
- Monthly Mutual Fund Flow Pattern as Driver of TOTM Effect The paper argues monthly mutual fund flows drive the Turn-of-the-Month effect, linking predictable month-end outflows and beginning-of-month inflows to concentrated returns during a 7-day window (U.S. 1926-2013; global evidence 1980-2014).
- Momentum-driven Turn-of-the-month Effect in Commodity Futures Trend-following commodity futures returns concentrate during turn-of-month periods, with 90% of Newedge Trend Index cumulative returns occurring during three monthly TOM days (Jan 2000–Mar 2014; effect strongest in illiquid commodities).
- Turn-of-the-Month Effect in Stock Markets Around the World Is the Turn-of-the-Month (TOTM) effect globally ubiquitous and persistent? In his August 2014 paper entitled "The Turn-of-The-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model", Eleftherios Giovanis examines the TOTM…
- Turn-of-the-Quarter Effect on Stock Momentum Stock momentum profits concentrate in third months of quarters post-1982 (3.75% vs 1.26% first months; 1983–2013; 12-1 momentum hedge portfolio; NYSE/AMEX/NASDAQ stocks).
- Combine Long-term SMA, TOTM and Sector Momentum? Sector TOTM effects favor past momentum losers over winners (bull state: losers outperform winners; bear state: similar pattern); TOTM appears more connected to reversion than momentum (Dec 1998–Aug 2012; 9…
- Turn-of-the-Month, Options Expiration and Trend Russell 2000 monthly segment effects (negative OE-to-TOTM, positive TOTM, flat TOTM-to-OE) are amplified when index is above/below 10-day SMA (Sep 1987–Apr 2009; 259 months; descriptive segmentation analysis).
- Turn-of-the-Month Effect and Option Strategy Losses Russell 2000 TOTM effect concentrates positive returns in 11.6-day turn-of-month window, with pre-TOTM averaging negative returns and post-TOTM near zero (Sep 1987–Apr 2009; 259 months; descriptive analysis for put-selling timing).
- The Turn-of-the-Month Effect Turn-of-the-month effect concentrates all excess market returns in 4-day window (0.14% vs -0.01% daily value-weighted; 1987-2005; last trading day through first 3 days of next month; broad U.S. stocks).
Months and seasons
55 articlesMonthly and seasonal patterns, from the January effect to Sell in May.
- Asset Class ETF Seasonalities? Average monthly returns for nine asset class ETFs (SPY, IWM, EFA, EEM, TLT, LQD, VNQ, GLD, DBC) are mostly positive in April, July, November and December and uniformly negative in…
- Style Performance by Calendar Month Style 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 sample too short for confident inference).
- Sector Performance by Calendar Month Average returns and return dispersion across nine Select Sector SPDR ETFs (XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY) differ somewhat by calendar month, with seasonality mostly cross-sector (Dec…
- “Sell in May” Over the Long Run "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 Index with Shiller dataset).
- Stock Market Continuation and Reversal Months? Calendar-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 indexes (S&P 500 Dec 1927–Sep 2025;…
- Any Seasonality for Gold or Gold Miners? Gold and gold miners show some calendar-month seasonality, with consistent strength in several months and weakness in June, July and October, but returns are highly variable (spot gold, S&P 500,…
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- VIX Seasonality 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…
- January Barometer Over the Long Run January S&P 500 returns show a correlation of 0.05 with February–December returns (R-squared 0.00; monthly closes, 1927–2023); the post reports a very bad January preceding weaker rest-of-year returns in small…
- Seasonal SACEVS-SACEMS Strategy? Seasonal overlays on a 50% SACEVS Best Value/50% SACEMS EW Top 2 mix (held Nov–Apr; idle cash or 6-month T-bills May–Oct) sacrificed considerable return relative to the always-invested baseline (gross;…
- Seasonal Strategy for QQQ? Holding QQQ only in odd years (idle cash or 1-year T-notes in even years) ranked best of four strategies, including buy-and-hold and Nov–Apr seasonal (Mar 1999–Oct 2023; monthly dividend-adjusted returns;…
- Combine “Sell in May” and SACEVS-SACEMS? Holding the 50-50 SACEVS Best Value-SACEMS EW Top 2 (value/momentum ETF mix, monthly reformation) all year was favored over "Sell in May" T-bill substitution. Excluding 2008, gross Sharpe ratios are…
- Test of Seasonal Risk Adjustment Strategy Seasonal strategy (equal-weight SPY/IWM/PDP Nov–Apr; TLT/SPLV May–Oct; 0.25% friction) showed the highest CAGR versus SPY, IWM, TLT and 60% SPY/40% TLT, with competitive MaxDD and Sharpe (Oct 2002–Apr 2023; semiannual…
- Combining Defensive-in-May and Sector Momentum Seasonal-Momentum (cyclical Nov–Apr, defensive May–Oct; top 6-month-return fund per group, semiannual rebalance) beat buy-and-hold SPY on gross CAGR (13.5% vs 10.6%; MaxDD -17% vs -40%; Oct 2006–Oct 2021), but momentum…
- Combining Defensive-in-May and Sector Reversion A seasonal/sector-reversion strategy (lowest 6-month-return cyclical fund Nov–Apr, lowest-return defensive fund May–Oct; semiannual rebalance) outperformed buy-and-hold SPY (12.7% vs 10.6% gross CAGR; Oct 2006–Oct 2021; in-sample).
- Defensive-in-May Sector Rotation Cyclical-to-defensive sector rotation (cyclicals plus small caps Nov–Apr, defensive sectors May–Oct) outperformed buy-and-hold NAESX and equal-weighted Sector EW (gross CAGR 11.2% vs 10.0% and 8.6%; Apr 1999–Oct 2021; semiannual, in-sample).
- Simple Tests of Sy Harding’s Seasonal Timing Strategy Sy Harding's Seasonal-MACD strategy (Oct 16–Apr 20 SPY, MACD-refined, cash otherwise) underperformed buy-and-hold SPY on average gross annual return (8.1% vs 11.6%; 1994–2020; 1/29/93–10/1/21 sample), with lower volatility (10.3% vs…
- Seasonal Timing of Monthly Investment Increments Seasonal timing of monthly retirement contributions did not materially improve performance versus fixed 50-50 allocation (terminal values $551/$555 vs $544 for SPY/LQD 2002-2020; $5,575/$5,593 vs $5,922 for VFINX/VWESX 1980-2020).
- Stock Option Momentum and Seasonality Stock option straddles exhibit momentum and seasonality patterns, with 12-month momentum generating 6.6% gross monthly return and Sharpe ratios 3x higher than stocks (Jan 1996–Jun 2019; zero-delta straddles, monthly rebalancing;…
- Crude Oil Seasonality WTI crude oil shows March-May strength and November-December weakness, but high volatility (6.7%-14.2% monthly standard deviations) inhibits exploitation (1986-2020; USO results differ from underlying patterns).
- Bonds During the Off Season? Seasonal SPY-VFITX (SPY Nov-Apr, VFITX May-Oct) outperformed SPY (11.1% vs 9.8% CAGR) and 60-40 SPY-VFITX (11.1% vs 8.7% CAGR); semiannual switching; Apr 1993-Oct 2019; safe bonds exhibit opposite seasonality from…
- Seasonal, Technical and Fundamental S&P 500 Index Timing Tests Technical strategies modestly outperformed S&P 500 buy-and-hold after data snooping correction (best: 2-12 month moving average crossover, 0.15 vs 0.08 Sharpe ratio; 1966-2014; monthly rebalancing).
- Pervasive Seasonal Relative Weakness Cycles? Keloharju, Linnainmaa and Nyberg find seasonal reversal effects offset seasonality, with their annual-minus-non-annual factor generating 0.67% monthly gross returns and 0.66% 3-factor alpha (1963–2016; U.S. stocks).
- Firm Sales Seasonality as Stock Return Predictor Long low sales seasonality/short high sales seasonality hedge portfolio generated 0.70% gross monthly return (0.65%-0.75% alphas; Jan 1970-Dec 2016; quarterly rebalancing; broad non-financial U.S. stocks).
- Unique U.S Equity ETF Seasonalities? ETF calendar anomalies show modest effects like strong April performance and weak December, but patterns are largely unexploitable due to statistical vs economic significance (148 U.S. equity ETFs; 2005-2015; risk-adjusted…
- Optimal Rebalancing Frequency/Months? Annual rebalancing matched semiannual/quarterly performance for 60% SPY/40% VBMFX portfolios (8.1% vs 8.0% CAGR; Jan 1993–Jun 2017; end-February/March timing showed slight advantage).
- Kaeppel’s Sector Seasonality Strategy Kaeppel's calendar-based sector rotation strategy outperformed VFINX (20.1% vs 9.4% CAGR; 1985-2017; monthly switches between tech/energy/gold funds and cash) but weakened post-publication, underperforming over the last 10 years.
- Combined Sell-in-May and Pre-election-year Effects U.S. equity premium averaged 23.0% during November-April of pre-presidential election years versus 4.1% during May-October (1927-2015; monthly returns; 22 presidential cycles across 89 years).
- Seasonal Effects in Government Bonds Worldwide? Government bonds worldwide show minimal seasonal effects, with only 6 of 25 countries exhibiting significant January effects and only 3 countries showing sell-in-May patterns (Jan 1992–Jun 2016; monthly total returns…
- Pervasive 12-Month (and 5-Day) Relative Strength Cycles? 12-month relative strength cycles are pervasive across assets, with long-short strategies generating 1.19% monthly returns for U.S. stocks vs -0.96% in other months (Jul 1963–Dec 2011; 20-year lookback).
- Combining Seasonality and Trend Following by Asset Class Seasonality overlay enhanced trend-following strategies with Sharpe ratios increasing from 0.91 to 0.98 for commodities and 0.81 to 0.85 for equities, though benefits disappear at trading frictions above 0.20-0.15% (1992-2014;…
- Interactions among Stock Size, Stock Price and the January Effect Low-priced stocks outperformed high-priced stocks by 5.2% in January but underperformed by 5.8% Feb-Dec (1962-2013; size-controlled double sorts; 3,000 largest US stocks).
- Stock Returns During and Between Earnings Seasons S&P 500 returns show no consistent difference between earnings seasons and interim periods on a per-week basis (1950-2014; calendar-based earnings seasons; 257 observations since 1950).
- Simulating the Halloween Effect with Recent Data Halloween effect strategies underperformed buy-and-hold benchmarks across six equity indexes (2003–2012; switching costs 0.1%-1.0%; bootstrap simulations on S&P 500, DAX 30, FTSE 100, CAC 40, EuroStoxx 50, MSCI EM).
- Testing Earnings Season (Alcoa to Wal-Mart) Trading Strategies AA-WMT Long Only underperformed Buy and Hold SPY ($207,348 vs $271,635 terminal values; Feb 1997–Oct 2013; long SPY during off-season, cash during earnings season; 67 quarters).
- Halloween Indicator Out-of-sample Test Halloween effect vanishes post-2002 publication, with buy-and-hold significantly outperforming sell-in-May strategies since 2003 across S&P 500, DAX, FTSE, CAC, Euro Stoxx (2003-2012; 0.5% trading costs).
- Stock Market Performance by Month Worldwide Equal-weighted average returns across 70 country stock markets were highest in December, January and April and lowest in September (mostly 1980s/1990s–May 2012; descriptive, not a trading test); patterns differ across…
- Halloween Effect Pervasiveness Halloween effect strategy outperformed buy-and-hold across global markets (4.52% average Nov-Apr vs May-Oct spread; 108 indexes, 1693-2011; semiannual rebalancing between stocks and risk-free rate; 55,425 monthly observations).
- Distinctive Biotech Seasonality? Biotech stocks show distinctive seasonality versus S&P 500, with December outperformance most pronounced and weak tendency to lead broad market by one month (BTK; Jan 1995–Aug 2012; monthly detrended returns).
- “Sell in May” Still Working? Sell-in-May strategies outperformed buy-and-hold MSCI World Index (timing strategy with k=1/2 nearly doubled cumulative returns vs passive holding; Nov 1998–Apr 2012; reduced/leveraged exposure).
- Gold Seasonality Drivers Gold shows statistically significant positive returns in September (2.2% average) and November (1.8% average), with September effects strengthening over time (1981-2010; daily London fixing prices; 30 years).
- Value Premium Concentration in January Value premiums concentrate in January across global markets (1.1%-3.6% gross monthly spreads vs generally insignificant non-January months; 1975-2007; top/bottom 30% book-to-market portfolios across 7+ regions).
- Survey of Seasonal Anomalies Survey finds several seasonal anomalies persist with modifications: January effect shifted to December, sell-in-May strategy outperformed buy-and-hold ($3.73 vs $1.96 for SPY futures; Feb 1993–Dec 2010).
- Reversal, Momentum, Reversion and 12-month Echo Dependencies on January Returns January disrupts typical momentum patterns, showing reversion instead of momentum for past months 2-11, while February-December exhibit momentum (NYSE/AMEX stocks; 1926-2009; equally weighted hedge portfolios by return deciles).
- Optimally Exploiting the January Barometer January Barometer strategy (stocks after positive January, Treasury bills after negative) outperformed buy-and-hold stocks ($562,773 vs $170,807 terminal value; 1857-2008; monthly rebalancing).
- An Annual Worldwide Optimism Cycle (Sell in May)? MSCI World (USD) returned an average 7.6% more per year in November–April than May–October, with winter beating summer in about two of three years (1970–2003; monthly data; descriptive, not a…
- The January Barometer Retested January predicts February-December U.S. stock returns (R-squared 0.09; 1950-2007; S&P 500), but January Barometer timing strategies underperform buy-and-hold due to missed January gains and poor short performance.
- Persistence of the January Effect Is an adaptive marketplace extinguishing the January effect? In their June 2008 paper entitled "The Persistence of the Small Firm/January Effect: Is it Consistent with Investors' Learning and Arbitrage Efforts?",…
- Seasonal Environmental Factors and Perceived Risk Seasonal environmental factors correlate with VIX but not actual volatility, with daylight hours associated with 1.35% annualized return impact and fall onset with 1.72% depression (1990-2007; descriptive; not a trading…
- Mirror Image Seasonality for Stocks and Treasuries? Treasury returns exhibit striking seasonality with 0.8% peak-to-trough variation (October peak, April trough), roughly opposite to equity patterns (1952-2004; monthly Treasury indexes vs equal-weighted stocks).
- A 12-Month Cycle for Stock Returns? Stocks that beat the local market in a given month tended to do so in the same calendar month in later years; a long/short strategy on 12-month-lagged returns earned 0.52%…
- Halloween and January Effects the Same? Halloween strategy beat buy-and-hold in eight of 10 size deciles over 1926–2002, but buy-and-hold beat it in eight of 10 during 1986–2002 and seven of 10 during 1966–2002; winter outperformance…
- The After-January Effect? In case you are sick of hearing about the January effect...
- January Effect Alive and Well? In their October 2005 paper entitled "The January Effect", Mark Haug and Mark Hirschey examine the persistence of the January effect (abnormally high rates of return during the month of…
- Testing the Halloween Effect The Halloween effect (higher winter than summer returns) appears marketwide and distinct from the January effect, with statistically significant winter premiums in most portfolios (Fama-French U.S. equal- and value-weighted portfolios;…
- Explaining Summer Doldrums Summer U.S. trading volume is lower than the rest of the year (12.5% overall; 29% for dot-com stocks), and dot-com market-to-book ratios are about 42% lower in summer than winter…
Events and cycles
37 articlesFed meetings, elections, option expirations and other recurring events.
- Stock Market and the National Election Cycle Presidential term Year 3 shows the highest average annual S&P 500 Index return, while Year 2 is somewhat weaker (daily and monthly data, Jan 1928–Sep 2026; 25 terms per year;…
- Distinct and Predictable U.S. and ROW Equity Market Cycles? S&P 500 and World ex USA (USD) price indexes show no obvious alternating leadership or exploitable cycle; annual SP500 return correlates with ROW return (R-squared 0.44), with new highs shared…
- Growing Political Effect? Average annual returns were higher in odd years than even years for the S&P Composite, S&P 500, NASDAQ 100 and Russell 2000 (common 1988-2025 period), with trend lines suggesting a…
- Year of the Decade Effect? Average annual U.S. stock returns vary by year of the decade, with xxx5 notably strong (Shiller S&P Composite 1871–2025, 6.4% all-year average; S&P 500 1928–2025, 8.1%; 9–16 returns per year;…
- Hope for Stocks Around Inauguration Day? S&P 500 average returns around inauguration days were weaker in the months before and after, mainly when the presidency changed parties (24 election-based inaugurations, 1928–2024; ±21 trading days; descriptive, not…
- Monthly Returns During Presidential and Congressional Election Years S&P 500 average monthly returns and standard deviations by calendar month differ across presidential, congressional-only, and no-election years; presidential years are most distinctive (Dec 1927–Sep 2024; descriptive, small subsamples; not…
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- T-note Behavior over the Calendar Year Average cumulative change in the 10-year T-note yield tends to fall modestly in the second half of even and presidential election years, while odd years tend to rise and hold…
- Predictable Long-term Stock Market Booms and Busts? Stock markets alternate somewhat irregularly between multi-decade bull and lost periods within 80–100 year cycles; U.S. bull periods average 22 years versus 16 for lost (six markets, 1800s–2023; descriptive; not…
- Reliable U.S. Equity Market Oscillations? Pinelis models an oscillator of annual S&P 500 and NASDAQ Composite returns, estimating a 3.46±0.97-year (S&P 500) and 3.38±0.58-year (NASDAQ) period at 90% confidence (S&P 500 since mid-1960s, NASDAQ since…
- Optimal Monthly Cycle for SACEMS? SACEMS gross CAGRs and MaxDDs vary across 21 monthly ranking cycles (EOM-10 to EOM+10); cycles ending after month-end are generally weaker, and MaxDDs are mostly shallowest near EOM (Feb 2006–Oct…
- Stock Market Return Reversal after FOMC Announcements A reversal strategy trading E-mini S&P 500 from 13:50 EST to the close, opposite the prior 24-hour return, averaged 0.18% net per FOMC announcement with Sharpe ratio 0.36 (Oct 1997–Jan…
- Trading Around Option Expiration Days S&P 500 average daily returns show a modest positive bias before option expiration and a negative bias during and just after it, but variability swamps the averages (Jan 1990–Feb 2022;…
- U.S. Stock Market Returns Around Scheduled FOMC Meetings Buying SPY at the open the day before scheduled FOMC meetings and selling at the close showed a negative average return, so the evidence does not support the strategy (Jan…
- Three High-attention Earnings Announcement Clusters Drive Market? Stock markets rise 0.34% vs 0.02% typical days during 24 hours before prominent PM earnings clusters (1999-2018; E-mini S&P 500 futures; news-weighted by prior-year article count).
- Extra Attention to Earliest Quarterly Earnings Announcements Stocks with systematic earnings announcement schedules show 0.5% higher 3-day announcement premiums when calendar-accelerated vs delayed, with effects reversing predictably (2004-2017; 19,252 firm-quarters with systematic schedules).
- National Election Cycle and Stocks Over the Long Run U.S. stocks show mid-term presidential cycle strength only post-1952, with earlier 1873-1952 data showing no pattern (Dec 1872-Aug 2019; Shiller S&P Composite Index; split-sample analysis).
- Optimal Cycle for Monthly SMA Signals? EOM cycle for 10-month SMA timing generated 8.4% CAGR vs 8.0% for buy-and-hold S&P 500, but cycle rankings reversed across subperiods (Jan 1990-Jun 2019; 21 timing variations tested).
- Does the Sunspot Cycle Predict Grain Prices? Sunspot activity shows no meaningful relationship to U.S. grain prices (-0.07 correlation; 1926-2018; monthly PPI data across ~9 solar cycles; descriptive analysis).
- Sunspot Cycle and Stock Market Returns Sunspot activity shows no reliable relationship with S&P 500 returns, with correlations near zero (-0.02 monthly, -0.07 annually) contradicting Charles Nenner's predictions (Jan 1871–Oct 2018; ~14 solar cycles; descriptive analysis).
- Lunar Cycle and Stock Returns S&P 500 returns in 11-day intervals centered on new moons outperformed those centered on full moons (Jan 1990–Aug 2018; 354-355 lunar events), though effects are small relative to volatility and…
- Stock Index Changes No Longer Meaningful? S&P 500 index additions show diminished exploitable returns post-2008 crisis, with open-to-close abnormal returns turning significantly negative (-0.62% vs insignificant pre-crisis; 2002-2013; 228 additions).
- 3-Cycle Prediction Engine? 3-cycle forecast (equal-weighted seasonal, Presidential, decennial patterns) showed no predictive power for DJIA monthly returns (R²=0.001, correlation 0.03; Jan 2001–Dec 2016; 192 forecasts).
- Mood Beta as Stock Return Predictor Hirshleifer, Jiang and Meng argue stocks with higher sensitivity to investor mood (measured via January/October, Friday/Monday return patterns) persistently outperform during future good mood periods (1963–2015; factor model).
- Equity Option Returns by Monthly Expiration Interval Options underperform during 4-week vs 5-week monthly expiration intervals (2.6% weekly return spread for straddles; 1996–2014; delta-hedged portfolios; liquid equity options).
- Hold Stocks Only during FOMC “Even” Weeks? FOMC even-week strategy outperformed buy-and-hold (11.8% vs 8.3% excess returns; 1994-2015; biweekly long-only during weeks 0,2,4,6 of FOMC cycle; U.S. stock market), driven by Fed informal communication.
- Exploiting Multiple Stock Factors for Stock Selection Multi-factor stock selection strategies outperformed equal-weighted benchmarks (Model 1 top-bottom 2%: 47.8% vs 13.6% annualized return; July 1968-Dec 2013; 6-factor regression model; broad US stocks excluding microcaps).
- Equity Factor Returns Across the Chinese Zodiac Equity factor returns vary considerably across Chinese Zodiac signs (market factor -1.4% to 12.9%; 1927-2015; Fama-French factors), but differences lack statistical significance due to small subsamples and high variability.
- Smart Beta Interactions with Tax-loss Harvesting Factor-tilted portfolios exhibit positive tax alpha from loss harvesting (0.77%-2.03% annually) but underperform cap-weighted benchmarks, with complex tilts showing lower tax benefits (Jan 1999-Dec 2013; monthly rebalancing).
- Optimal Monthly Cycle for Sector ETF Momentum Strategy? Sector ETF momentum strategy performance varies dramatically by monthly calculation cycle, with EOM-1 achieving 0.16 return-to-volatility ratio versus 0.05 for EOM-6 (9 SPDR sectors, 6-month lookback; Jan 1999-Jul 2014; 0.25%…
- Returns Around Earnings Announcements Worldwide A global hedge portfolio long announcing/short non-announcing stocks generated 8.0% annualized returns vs passive global portfolio's lower performance (1991-2010; monthly rebalanced; 28,000 firms across 46 countries).
- Post-1960 Financial Cycles Claessens, Kose and Terrones find financial cycles typically last 5-8 quarters for downturns and 8-22 quarters for upturns, with credit, housing and equity market downturns averaging 4%, 6% and 24%…
- Exploiting the Presidential Cycle and Party in Power Two party-based strategies outperformed benchmarks (1937-2010; small-cap under Democrats, large-cap/Treasuries under Republicans; 1998-2010 out-of-sample results less convincing; 17-18 presidential terms).
- Persistently Effective Sector Selection Variables Combined momentum-seasonal sector strategy generated 9.9% net CAGR vs individual variables' ~7-8% (1971-2008; long-short top/bottom 3 of 10 global sectors monthly; 0.60% trading costs).
- A Daily Stock Return Cycle Stocks outperforming in a given half-hour exhibit rapid reversal over subsequent hours, then continuation at the same interval on following days (2001–2009; 4,494 U.S. stocks; intraday bid-ask data).
- Option Expiration Week Stock Return Drill-down Large-cap stocks with actively traded options outperformed during expiration weeks (0.45% vs 0.12% average weekly return; 1996-2008; 28 stocks), with effect strongest for high option/stock volume ratios.
- Abnormal Returns After Switches to/from Daylight Saving Time? ...evidence from a broad international test indicates that switches to/from daylight savings time have no reliable effect on short-term stock returns.
- Spectral Analysis of Stock Market Cyclicality ...spectral analysis confirms the probable existence of U.S. stock market cycles that coincide with election cycles.
Calendar studies
13 articlesBroad surveys of calendar anomalies and how they combine.
- Using AI to Discover Calendar-based Return Anomalies Grok-identified turn-of-the-month window (last 3 to first 3 trading days; 38% of days) averaged 0.084% daily S&P 500 return vs 0.000% outside (Dec 1927–mid-Oct 2026; AI-generated, descriptive; not a trading…
- Alternative U.S. Stock Market Calendar Visualizations S&P 500 monthly returns show December and September as best and worst months respectively by reward-to-risk ratio, with January, April, July also favorable (Jan 1928–Dec 2019; 92 observations per month;…
- Aggregate Firm Events as a Stock Return Anomaly Aggregate firm event strategies generated gross monthly alphas of 0.27% to 1.12% (through Dec 2016; long-short equal-weighted; earnings/dividend announcements, ex-days, splits; 100% monthly turnover).
- Short-term VIX Calendar Effects VIX exhibits a Monday close-to-close pop and OE-1 decline, but VXX futures data suggests limited exploitability (VIX 1990-2015, VXX 2009-2015; day-of-week and options expiration analysis; 77-130 monthly observations).
- Interaction of Calendar Effects with Other Anomalies Most U.S. stock anomalies exhibit January effects (several switch sign) and first-month-of-quarter effects; 11 anomalies tested (Jan 1964–Dec 2013; gross returns, value-weighted portfolios).
- Stock Index Futures Calendar Effects Turn-of-the-month effect in S&P 500 futures generated 27.5% net cumulative profit (Dec 1991–Apr 2008; +1 day strategy with 0.05% round-trip costs; only 1 of 188 calendar effects persistent across subperiods).
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- Three Centuries of Calendar Effects Halloween/Sell-in-May effect persists across all 50-year and 100-year subperiods, with November-April beating May-October by 0.56% monthly average (1693-2009; UK stock index; descriptive; not a trading test).
- The Real Calendar Effects? Halloween and turn-of-the-month effects subsume other calendar anomalies, generating 7.2% vs -2.8% annualized equity premium when jointly controlling for five effects (Jul 1963–Dec 2008; daily U.S. stock returns).
- In Search of Super-anomalies Ogden and Fitzpatrick find a common mispricing factor explains five stock anomalies, with seasonal effects peaking January-April and minimizing August-November (1974-2008; 60,301 firm-year observations).
- Anomalies for Building Very Short-term Trades? The most relevant research at CXOadvisory.com is...
- How Rigorous is the Stock Trader’s Almanac? You can use these three categories (and key word searches) to identify similar analyses and thereby get a second opinion on specific anomalies.
- A Two-Year Reversion Effect? TYE strategy outperformed buy-and-hold (15.0% vs 12.4% average return; 1936-2005; 150%/50% allocation based on returns vs 10-year MA; value-weighted index).
- Comprehensive Analysis of Calendar Effects Calendar effects (day-of-week, month, turn-of-month, end-of-year, holiday) were statistically significant in almost all of 25 indices across ten countries, strongest in small- and mid-caps, but absent after the early 1990s…
Other calendar research
12 articlesMore tests of calendar timing.
- Predictable Monthly Pattern for TLT? TLT average cumulative raw returns show a U-shaped monthly pattern bottoming in the first third of the month; a latter-month-only holding rule is reported gross of costs versus buy-and-hold TLT…
- Comparing Long-term Returns of U.S. Equity Factors Across 153 published U.S. equity factors, gross market alpha is inversely associated with gross market beta (R-squared 0.41; monthly returns, July 1963–December 2021; descriptive, gross of costs; not a trading…
- Testing a QQQ Swing Trade Strategy QQQ swing trade (buy Mon/Tue close if (Close-Low)/(High-Low) ≤0.15; sell at close above prior-day high; else T-bills) had breakeven one-way frictions of about 0.25% versus buy-and-hold QQQ CAGR (Mar 1999–Aug…
- Tug-of-war Risk and Future Stock Returns Stocks with high negative tug-of-war intensity outperformed by 0.92% monthly (top vs bottom decile; May 1993–Dec 2017; negative overnight-intraday reversal frequency; U.S. stocks).
- Global Factor Premiums Over the Very Long Run Global factor premiums show 0.41 average gross Sharpe ratio with trend, carry, and seasonality strongest across equity, bond, commodity, and currency markets (1800-2016; out-of-sample tests; gross returns).
- Isolating Desirable Turnover via Separate Alpha and Beta Portfolios Separating alpha and beta portfolios (composite long-short strategy) outperformed conventional long-only factor tilting by 1.3% post-tax annually (9.7% vs 9.5% pre-tax; 25-year simulations; monthly rebalancing across value/momentum factors; 100 Monte…
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- Common Commodity Futures Trading Strategies Till and Eagleeye identify trend-following and calendar-spread trading as the most common commodity futures strategies, but provide no quantitative performance metrics (2017 overview; descriptive; not a trading test).
- Deconstructing the Size Effect The size effect shows predictable variation, averaging 0.25% monthly but reaching 2.32% in January and 1.76% when prior-year returns are negative and prior-month returns positive (SMB factor; 1927-2011; conditional averages).
- Norman Fosback’s Performance? According to Hulbert Financial Digest tracking, Fosback's seasonality timing system had the best long-term risk-adjusted return among monitored services, though specific performance data unavailable.
- Stock Price as a Future Return Indicator Low-priced stocks ($5 or less) outperformed high-priced stocks (over $20) by 0.53% monthly (Jul 1963–Dec 2006; long/short portfolio, annual rebalancing; NYSE/AMEX/NASDAQ common stocks).
- Darlings of the Dow Strategy Darlings of the Dow outperformed SPY ($3.17 vs $1.80 terminal value; 2002-2007; seasonal timing of undervalued Dow stocks alternating with utilities; 10 trading intervals).
- Hedge Funds Strongest Around the Turns of Odd Years? Aggregate hedge fund returns are highest in December and January and lowest from August to October (monthly excess returns, 1990-2005; 30 of 37 equal-weighted HFR strategy indexes, 1,600+ funds; descriptive;…