Optimal Rebalancing Frequency/Months?
...evidence from simple tests on recent data of semiannual rebalancing of a 60-40 stocks-bonds portfolio suggests that it makes no difference which months an investor uses to rebalance.
January Barometer Over the Long Run
Does long term data support belief that “as goes January, so goes the rest of the year” (January is the barometer) for the the U.S. stock market? Could this conventional wisdom be an artifact of data snooping or a victim of market adaptatio...
Any Stock Market Anomalies Around 3-day Weekends?
...evidence from simple tests does not support a belief that investors/traders tend to exit the market before three-day weekends and re-enter after. There may be some tendency toward extra bullishness (bearishness) before (after) three-day weekends, bu...
VIX Calendar Effects [PREMIUM]
Does the S&P 500 implied volatility index (VIX) exhibit systematic behaviors by day of the week, month of the year, turn-of-the-month (TOTM) or options expiration (OE)? If so, are the behaviors exploitable? Using daily closing levels of VIX since J...
Continuation and Reversal Months?
Are some calendar months more likely to exhibit stock market continuation (momentum) or reversal than others? To check, we relate U.S. stock index returns for each calendar month to those for the preceding 12 month and the preceding six months. Using m...
January Effect Over the Long Run
Does long term data support belief in exceptionally strong performance by the U.S. stock market during the month of January? Could this conventional wisdom be an artifact of data snooping or a victim of market adaptation? Robert Shiller’s long ru...
Stock Market Performance by Intra-year Phase
The full-year Trading Calendar suggests that the U.S. stock market may have three phases over the calendar year, corresponding roughly to calendar year trading days 1-84 (January-April), 85-210 (May-October) and 211-252 (November-December). What are ty...
Stock Returns Around New Year’s Day
Does the New Year’s Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the ...
Stock Returns Around Christmas
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 the five trading d...
Style Performance by Calendar Month
The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various size and...
Sector Performance by Calendar Month
The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various stock ma...
Stock Index Futures Calendar Effects [PREMIUM]
Do calendar effects found in stock markets also appear in broad stock index futures? In their November 2011 paper entitled “Calendar Anomalies in Stock Index Futures”, Oscar Carchano and Angel Pardo investigate 188 possible cyclical anomal...
