Guide · 11 plays
Calendar: what it predicts, and when it works
Some parts of the year and month have been reliably stronger than others. Calendar plays hold only through those windows and sit in cash the rest of the time.
Why it might work
Pay-day and pension flows arrive at month ends, holidays lift mood and thin selling, and fund managers dress up portfolios at year end. Whether those causes still hold is part of the debate.
When it fails
A calendar play can't see the market. It holds through a crash that happens inside its window and misses a rally outside it, and well-known effects get traded away.
What the research says
- Bouman and Jacobsen (2002) found returns from November to April beat May to October in 36 of 37 countries: the Halloween indicator, or 'sell in May'.
- Ariel (1987) and Lakonishok and Smidt (1988) found most of the market's gains came around the turn of the month and before holidays.
- French (1980) found the S&P 500 fell on average from Friday's close to Monday's close from 1953 to 1977: the weekend effect.
- Lucca and Moench (2015) found that from 1994 the S&P 500 made a large share of its excess return in the 24 hours before scheduled Fed announcements.
- McLean and Pontiff (2016) found published market anomalies lose much of their edge after publication, which matters most for well-known calendar effects.
Every calendar play, ranked
Share of stocks where each play did better than holding, since 2005 or as long as the stock has traded, after costs. Click a column to sort.Sort with the menu above the list.
| Play | Beat holding, risk-adjusted | Cut the worst fall | Beat holding on return | Calls right | Switches / yr | Time in | In now |
|---|---|---|---|---|---|---|---|
| Halloween IndicatorSven Bouman & Ben Jacobsen & Yale Hirsch & Jeffrey Hirsch | 33% | 89% | 27% | 54% | 2.0 | 49% | 0/377 |
| Santa Claus RallyYale Hirsch & Jeffrey Hirsch | 29% | 100% | 12% | 47% | 2.0 | 3% | 0/377 |
| Best Six + MACDYale Hirsch & Jeffrey Hirsch | 26% | 88% | 25% | 54% | 2.0 | 49% | 176/377 |
| Seasonal TimingSy Harding | 25% | 87% | 23% | 54% | 2.0 | 51% | 0/377 |
| Pre-HolidayRobert A. Ariel & Josef Lakonishok & Seymour Smidt | 25% | 100% | 10% | 49% | 18.0 | 4% | 0/377 |
| Turn of the MonthJosef Lakonishok & Seymour Smidt & Robert A. Ariel | 17% | 98% | 16% | 49% | 24.1 | 19% | 0/377 |
| January BarometerYale Hirsch & Jeffrey Hirsch | 16% | 86% | 13% | 40% | 0.9 | 58% | 375/377 |
| Weekend EffectKenneth French & Josef Lakonishok & Seymour Smidt | 16% | 68% | 16% | 50% | 104.7 | 79% | 377/377 |
| Presidential Sweet SpotYale Hirsch & Jeffrey Hirsch | 14% | 99% | 10% | 46% | 0.5 | 17% | 377/377 |
| Pre-FOMC DriftDavid Lucca & Emanuel Moench | 11% | 100% | 11% | 47% | 15.9 | 3% | 0/377 |
| Lunar CycleKathy Yuan, Lu Zheng & Qiaoqiao Zhu | 9% | 88% | 11% | 49% | 24.8 | 49% | 377/377 |
When it worked
The family did best against holding in the 2008 crash (+30% median gap) and worst in the 2020–21 rally (−33%). Median gap in return against holding (per year over stretches longer than 18 months; crypto excluded).
| 2008 crash | Recovery 2009–19 | COVID drop | 2020–21 rally | 2022 bear | Since Oct 2022 | |
|---|---|---|---|---|---|---|
| Calendar | +30% | −10% | +20% | −33% | +16% | −10% |
Where it worked
By kind of stock: how often the family's plays beat holding on risk-adjusted return, and the median Sharpe ratio gap.
| Group | Beat holding, risk-adjusted | Sharpe gap |
|---|---|---|
| Micro caps | 41% | -0.05 |
| Metals & mining | 34% | -0.08 |
| Media & telecom | 27% | -0.11 |
| Healthcare | 24% | -0.17 |
| Real estate | 23% | -0.11 |
| Energy & power | 23% | -0.13 |
| Industrials & materials | 19% | -0.17 |
| Consumer & retail | 17% | -0.21 |
| Industrials & rentals | 16% | -0.17 |
| Financials | 14% | -0.17 |
| Indexes & ETFs | 13% | -0.13 |
| Semiconductors | 12% | -0.22 |
| Sectors | 12% | -0.17 |
| Software & devices | 12% | -0.24 |
| Big tech | 2% | -0.33 |
How traders use it
- Calendar plays are in cash much of the year, so judge them on risk-adjusted return, not raw return.
- They work best on whole markets (indexes); single stocks add their own news on top.
Right now
The calendar plays hold 41% of the stock-and-play combinations Be The Puck tracks (1,682 of 4,147) as of the Oct 13, 2026 close.
See which stocks each family holds · The plays and their rules
This analysis does not constitute trading advice. Please meet with an advisor or independently review sources before making any decision.