Calendar returns is an analysis of close-to-close returns for specific calendar periods: year, quarter, month, and week. Results are computed for: Minimum, 25th Percentile, Median, 75th Percentile, and Maximum. They are available as CSV files and for each asset there is a HTML file that contains all results as interactive bar charts.
Data coverage includes stocks and ETFs for which there is at least 5 full years of data. The earliest data point is 19991231. At the end of each period noted above, fresh results are computed.
Below is a sample for April.
April
| Symbol | Name | Minimum | 25th Percentile | Median | 75th Percentile | Maximum |
|---|---|---|---|---|---|---|
| A | Agilent Technologies | -14.779 | -4.184 | 1.274 | 5.353 | 26.944 |
| AA | Alcoa | -24.692 | -4.429 | 5.413 | 13.603 | 32.305 |
| AAC | Ares Acquisition Corp. | -16.061 | -6.903 | 0.102 | 8.692 | 1947.917 |
| AACG | ATA | -29.291 | -10.88 | -0.383 | 6.712 | 89.497 |
| AADR | AdvisorShares Dorsey Wright ADR ETF | -8.892 | -0.38 | 1.378 | 4.646 | 13.994 |
| AAIC | Arlington Asset Investment | -31.456 | -0.748 | 3.272 | 14.188 | 46.471 |
| AAL | American Airlines | -18.777 | -8.327 | -1.477 | 4.363 | 49.802 |
| AAMC | Altisource Asset Management | -35.323 | -9.229 | 1.046 | 32.151 | 48.148 |
| AAME | Atlantic American | -15.877 | -3.277 | -0.9 | 6.604 | 55.556 |
| AAOI | Applied Optoelectronics | -29.589 | -12.039 | -8.796 | 2.882 | 41.238 |
The HTML file for SLV is available at: SLV_calendar_returns_20230421. By maneuvering the arrow to a bar, the computed results related above are displayed. Each plot can be saved as an image file by clicking the download icon.
Up to date data is available for free at Quantitative And Machine Learning Asset Analysis – Free Data.
You may publish a limited amount of this data for any purpose. If you do so, please include a link to our Substack site: https://quantmlanalysis.substack.com.
If you wish to white label this data, please contact us at gcbc AT protonmail DOT com.
