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Author: hmTodd Two stars, 250 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 253814  
Subject: Monthly Seasonality of ETFs Date: 2/27/2013 12:42 PM
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I don't normally post about my ETFScreen site, but wanted to let the group know about a new page I added to visualize monthly seasonality for any ETF. I recently read a paper on seasonality because of an email from Mebane Fabers' The Idea Farm blog. After reading it I decided to take a look for myself and ended up with a web page that will show average daily returns for 12 trading days on each side of month-end.

In the blog post I wrote about it I note that the last 4 days of the month and the first two have returned 0.62% per month for the SPY over the twelve years of 2001-2012. The full month returns average 0.21% so that means the remaining 16 days actually lost 0.41% per month. This is the same time period that Zee named the Superior Six, so I believe the work I did just reconfirmed what he found. This is the reason I thought this group might be interested in my findings.

On my monthly-seasonal page I have links to some sector funds and a few international funds. It is interesting to see how consistent the "Superior Six" days perform on different indexes.

If you are interested the blog post is at
www.etfscreen.com/blog
and the page that shows the data is at
www.etfscreen.com/monthly-seasonal.php

Hugh
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