Does the Turn-of-the-Month Effect Work for Asset Classes?

Does the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, work across a broad set of asset classes. To investigate, we measure turn-of-the-month (TOTM) returns for the following nine asset class exchange-traded funds (ETF) used in the “Simple Asset Class ETF Momentum Strategy” and the “Simple Asset Class ETF Value Strategy”:

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

We define TOTM as the eight-trading day interval from the close five trading days before the first trading day of a month to the close on the fourth trading day of the month. Using daily dividend-adjusted closes for these ETFs from their respective inceptions (ranging from February 1993 for SPY to December 2007 for EMB) through early May 2023, we find that: (more…)