Calendar Anomalies: A Portfolio Approach

This study evaluates the calendar-anomalies-based active portfolio strategies. It uses daily closing prices of the S&P 500 Total Return Index (TRI) and MSCI All Country World Index (ACWI). The study tests the presence of calendar anomalies like day of the week, date of the month, and month of the year using dummy variable regression analysis, and backtests the performance of portfolio strategies to exploit those anomalies. Although this study does not find the day-of-the-week anomaly in the S&P 500 TRI and MSCI ACWI, it finds the date-of-the-month anomaly in both. Moreover, while it does not find the month-of-the-year anomaly in the S&P 500 TRI, it does find it in the MSCI ACWI. In addition, the negligible difference in the annualized returns for day, date, and month portfolios suggests that calendar-anomalies-based portfolio strategies do not generate superior returns for a particular day, date, or month portfolio. This study concludes that, contrary to popular belief, calendar anomalies do not exist in the US and world market indices.