Calendar Effects

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 2024 (37 December and 37 January observations), we find that: Keep Reading

Do gold and gold mining stocks exhibit exploitable seasonality? Using monthly closes for spot gold and the S&P 500 Index since December 1974, PHLX Gold/Silver Sector (XAU) since December 1983, AMEX Gold Bugs Index (HUI) since June 1996 and SPDR Gold Shares (GLD) since November 2004, all through September 2024, 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 October 2024.

Do hopes and fears of U.S. election outcomes, and associated political machinations, alter the “normal” seasonal variation in monthly stock market returns? To check, we compare average returns and variabilities (standard deviations of returns) by calendar month for the S&P 500 Index during years with and without quadrennial U.S. presidential elections and biennial congressional elections. Using monthly S&P 500 Index closes over the period December 1927 through September 2024 (nearly 97 years), we find that: Keep Reading

The Trading Calendar looks at S&P 500 Index behaviors over the calendar year, finding some consistent patterns. Are there any comparable insights from movements of the U.S. Treasury 10-year constant maturity note (T-note) yield over the calendar year? To investigate, we track T-note yield and cumulative change in T-note yield by business day over all available calendar years, even (U.S. national election) years, odd years and presidential election years. Using daily T-note yield during January 1962 through early September 2024, we find that: Keep Reading

Do stock markets following predictable long boom and bust periods? In the August 2024 draft of their paper entitled “The Anatomy of Lost Stock Market Decades”, Todd Feldman and Brian Yang examine the regularity/frequency of bull periods (strong gains) and lost periods (no gains) of at least 10 years. They also test two metrics to identify when the S&P 500 Index is in a bull or lost period: (1) the ratio of the S&P 500 Index level to a dividend discount model (DDM) valuation of the index; and, (2) an exponential cumulative loss metric calibrated via a 20-year moving average (weighting recent losses more than older losses to sharpen regime shift detection). Using monthly stock market levels from Global Financial Data for the U.S., Canada, Japan, Australia, Germany and France and Robert Schiller’s data for the S&P Composite Index from the 1800s through 2023, they find that:

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Do exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS), exhibit reliable seasonalities? To check, we look at average return by calendar month for the following nine ETFs:

• SPDR S&P 500 ETF Trust (SPY)
• iShares Russell 2000 Index (IWM)
• iShares MSCI EAFE Index (EFA)
• iShares MSCI Emerging Markets Index (EEM)
• iShares Barclays 20+ Year Treasury Bond ETF (TLT)
• iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD)
• Vanguard Real Estate Index Fund (VNQ)
• SPDR Gold Shares (GLD)
• Invesco DB Commodity Index Tracking Fund (DBC)

Using monthly dividend-adjusted returns for these ETFs over a common sample period during March 2006 (limited by DBC) through July 2024, we find that: Keep Reading

Does the Labor Day holiday, marking the end of summer distractions, signal unusual return effects by refocusing U.S. stock investors on managing their portfolios? By its definition, this holiday brings with it any effects from the turn of the month. To investigate the possibility of short-term effects on stock market returns around Labor 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 2023 (74 observations), we find that: Keep Reading

Does the CBOE Volatility Index (VIX) exhibit exploitable seasonality? To investigate, we calculate by calendar month and compare average monthly:

• Change in VIX.
• Return for ProShares VIX Short-Term Futures ETF (VIXY).
• Return for ProShares Short VIX Short-Term Futures ETF (SVXY).

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: Keep Reading

Are there interactions between stock return momentum and days of the week? In their March 2024 paper entitled “Same-Weekday Momentum”, Zhi Da and Xiao Zhang investigate how momentum interacts with days of the week. They first perform regression tests to evaluate abilities of same-day and other-day past returns to predict day-of-the-week momentum. They then evaluate economic significance of findings by comparing three trading strategies:

1. Standard Momentum – each month, reform a value-weighted hedge portfolio that is long (short) stocks that are in the top (bottom) tenth, or decile, of stocks with the highest (lowest) average monthly returns from 12 months ago to one month ago.
2. Same-Weekday Momentum – each weekday during a month, reform a value-weighted hedge portfolio that is long (short) the decile of stocks with the highest (lowest) average daily returns on the same day of the week from 12 months ago to one month ago.
3. Other-Weekday Momentum – each weekday during a month, reform a value-weighted hedge portfolio that is long (short) the decile of stocks with highest (lowest) average daily returns on other weekdays from 12 months ago to one month ago.

Using daily data for publicly listed U.S. stocks, excluding those priced less than $5 and those in the bottom tenth of NYSE market capitalizations, during 1963 through 2021 and daily equity fund/institutional trading data as available, they find that: Keep Reading