Further to my recent post on daily seasonality near the ‘turn of the month’, I repeated the analysis for Vanguard’s large cap value fund VIVAX, excluding dividends.
The equity curve represents holding the fund during calendar days 1,2 and 25-31. Trades are frictionless (12 per year) but the VIVAX expense ratio of 0.24% is included.
Compound annual return is 8.8% and the equity curve shape is very similar to the previous analysis using Fama-French data, as expected.
Return on cash during the 75% of days out of the market would add several percentage points to this annual return, at least until interest rates were cut in 2008.
It may also be possible to time trades to collect dividends, adding further gains. Current yield is 2.07%.