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Seasonal effects on the stock market have been observed for decades. It is also an endless source of discussion. All opinions are equal, however it may be reasonable to take a limited bet on a bias when strategies have returned about 30% a year for 10 years.
Before focusing on a special sector let's clarify what I mean by seasons for the stock market (especially for big caps):
- January, February, and May to September are "bad months".
- March, April, and October to December are "good months".
This is based on well documented phenomena named "January effect", "sell-in-May" effect, "Halloween effect" and "Santa Claus Rally". Including February in the January effect and October in the Halloween effect has been questioned by readers as an optimization for the last 11 years. It might be; however it doesn't change the qualitative conclusions. In my search for probabilistic bias, IYR and ICF have appeared among the very few (and maybe only) sector ETFs with a slightly positive average return during the bad months for 11 years.

Below are seasonal returns in % for SPY, IYR and ICF (red) compared to S&P 500 (blue). Dividends are included and reinvested, so are gains/losses.

Bad months return for SPY (S&P 500):

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Bad months return for IYR (Real Estate):

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Bad months return for ICF (REIT):

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ICF has also a positive (and much better) return during the good months.

Good months return for ICF :

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Even resilient sector ETFs like XLU (Utilities) and XLP (consumer staples) have known negative returns for the same periods.

Bad months return for XLU:

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Bad months return for XLP:

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We note that Consumer Staples has been the more stable of all sectors during bad months.

As a conclusion, ICF's relative resilience in bad seasons is one more reason to include REITs as a part of a long term portfolio. However don't forget that a REIT is a stock, and behaves like a stock when the market falls sharply.

(PS: we would also have considered other real estate / REIT ETF like VNQ and others, but data were not available for 10 years due to their inception dates or limitation of our database.)

Source: REITs: A Sector More Resistant Than Others In Bad Seasons