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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
and the page that shows the data is at

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