Calendar Effects

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 June 2025.

The middle of the year might be a time for funds to dress their windows and investors to review and revise portfolios. The 4th of July celebration might engender optimism among U.S. investors. Are there any reliable patterns in daily U.S. stock market returns around mid-year and the 4th of July? To check, we analyze historical behavior of the S&P 500 Index from five trading days before through trading days after both the end of June and the 4th of July. Using daily closing levels of the index for 1950-2024, we find that: Keep Reading

How does the performance of the U.S. stock market compare to that of the aggregated stock markets in the rest of the world over the long run? Is there alternating leadership? To investigate, we use the S&P 500 Index (SP500) as a proxy for the U.S. stock market and the World ex USA Index in U.S. dollars as a proxy for the rest-of-world  equity market(ROW). We consider three ways to relate U.S. and ROW equity returns:

1. Basic return statistics/cumulative performances.
2. Lead-lag analysis between U.S. and ROW annual returns to see whether there is some cycle in the relationship (with the U.S. stock market compared to itself as a control).
3. Sequences of end-of-year high water marks for U.S. and ROW equity markets.

Using annual SP500 and ROW levels during December 1969 (limited by ROW) through December 2024, we find that: Keep Reading

Does the Memorial Day holiday signal any unusual U.S. stock market return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. celebrated Memorial Day on May 30. Effective in 1971, Memorial Day became the last Monday in May. To investigate the possibility of short-term effects on stock market returns around Memorial Day, we analyze the historical behavior of the stock market 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 through 2024 (75 observations), we find that: Keep Reading

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 of the S&P 500 Index before and after the holiday. Using daily closing levels of the S&P 500 index for 1950-2024 (75 events), we find that: Keep Reading

“Seasonal Strategy for QQQ?” finds an interesting even year-odd year effect in Invesco QQQ Trust (QQQ) annual returns. The Trading Calendar and “Monthly Returns During Presidential and Congressional Election Years” find notable differences in S&P 500 Index performances for even years and odd years. A plausible culprit is federal elections. Is this effect growing over time? To investigate, we look at four indexes over their full histories:

1. Shiller’s S&P Composite Index during 1871 through 2024 (153 annual returns).
2. The S&P 500 Index during 1927 through 2024 (97 returns).
3. The NASDAQ 100 Index during 1985 through 2024 (39 returns).
4. The Russell 200 Index during 1987 through 2024 (37 returns).

For each index, we calculate annual returns for even years and odd years and look at the separate trends in these returns over time. Using the selected end-of-year index levels, we find that: Keep Reading

Can traders generate attractive returns by frontrunning orders of large funds as they predictably rebalance from past winning asset classes to past losing asset classes? In their January 2025 paper entitled “The Unintended Consequences of Rebalancing”, Campbell Harvey, Michele Mazzoleni and Alessandro Melone investigate market impacts of asset class rebalancing based on deviations from allocation targets or calendar schedules. Specifically, they use daily returns for E-mini S&P 500 Index (SP500) and 10-year U.S. Treasury note (T-note) futures with shortest maturities to track deviations of a 60% stocks/40% bonds (60/40) portfolio from target weights. When stocks (bonds) outperform their weights, rebalancers must sell stocks (bonds) and buy bonds (stocks) to rebalance. The larger the deviation from 60/40, the greater the likelihood and magnitude of rebalancing. They consider two rebalancing rules:

1. Threshold – rebalance when portfolio weights drift a specified distance from 60/40 targets to manage trading frictions. They use an average of the rebalancings implied by regression analyses of distances in the range 0% to 2.5%.
2. Calendar – rebalance at monthly intervals (the last week of each month) to meet cash flow needs.

They construct a portfolio that anticipates activity of Threshold and Calendar rebalancers by taking either a long (short) position in SP500 futures and a short (long) position in T-note futures. They rescale the Threshold signal such that the Threshold and Calendar rebalancing signals contribute roughly equal risk to the overall strategy. Using daily SP500 and T-note nearest-maturity futures prices during mid-September 1997 (E-mini inception) through mid-March 2023, they find that: Keep Reading

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 2024, 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 1951-2024 (74 observations), we find that: Keep Reading

Do investors swing toward optimism around U.S. presidential inauguration days, focusing on future opportunities? Or, does the day remind investors of political uncertainty and conflict? To investigate, we analyze daily returns of the S&P 500 Index around inauguration day. We consider subsamples of no party change and party change. Using inauguration dates since 1928 and daily S&P 500 Index levels during 1928 through most of 2024, we find that: Keep Reading