Calendar anomaly

Holidays put people in motion. In the days surrounding major U.S. holidays, airports become busier as travelers visit their families or take advantage of extended weekends. Financial markets themselves are known to display a holiday-related seasonality. In our previous research on the Pre-Holiday Effect in Commodities, we identified a short-term price drift in crude oil and gasoline before major U.S. holidays. Increased travel and the associated expectation of higher fuel consumption offered one possible explanation. This naturally raises another question: if holiday travel leaves a seasonal footprint in energy markets, can it also be detected in the stocks of the airlines transporting those travelers? To investigate this possibility, we analyze the performance of the U.S. Global Jets ETF (JETS) around major U.S. holidays. We first examine its daily returns from ten trading days before to ten trading days after each holiday and use the resulting return profile to identify the strongest seasonal windows. We then formulate two directional JETS strategies and a JETS–USO strategy.

We document a persistent intramonth momentum cycle in U.S. sector ETFs that yields meaningful risk-adjusted returns when properly sequenced. Using the nine original Select Sector SPDR ETFs and SPY as the market benchmark from December 1998 through June 2026, we show that trailing 252-day sector momentum generates a positive spread on the first trading day of the month—and then sharply reverses on days two and three. A third, independent leg of the cycle emerges in the window from ten to five trading days before month-end, consistent with the intramonth momentum cycle recently documented at the single-stock level by Nathan, Suominen and Tasa (2026). Stitching the three legs together into a single composite strategy delivers 5.99% annualized return at a 0.55 Sharpe ratio for the long-short variant, and 3.77% at 0.54 for the market-neutral variant—all while being invested fewer than half the trading days each month. Our contribution is twofold: we extend the calendar-anomaly literature from individual equities to sector-level portfolios, and we provide practitioners with a transparent, low-turnover framework that translates these academic patterns into actionable trade schedules.