We call our regular Apollo based commentary “The Weather report”. The analogies that we can make with the multiple elements of Value, Momentum and Uncertainty impacting markets in a continuous way chimes nicely with the idea of Currents, Tides and Winds, all impacting the navigation of the high seas. Whatever the nature of the vessel concerned or the skills, experience and capabilities of the crew, the Maritime Weather Report is an essential part of the information system that is required and so the Market Weather Report is designed to perform a similar, essential function.
Beyond the weather report, the other essential maritime document is the Nautical Almanac – an annual calendar that provides updated information on navigation, summarising the timing of the tides, celestial movements and updates on support systems, coastguard regulations etc. In many ways a form of Market Almanac could be a useful addition to the information system for investors and the following document is a version of it, based upon the Apollo view of the markets.
From the Calendar year to the Tropical Year
The first point to note about Nautical Almanacs is that they provide a reference document – a mapping if you will – between the Calendar year, the Tropical year; the time that it takes the sun to return to the same position in the sky and the Lunar Year that identifies the phases of the moon over the course of 12 lunar months. For our Nautical customer, this provides the basis for the calculation of tides, given the phases of the moon, and the navigation of the earth; achieved by mapping the passage of the sun through the constellations of the night sky. The reference points of the Almanac provide event times and turning points in the Tropical cycle and the Lunar cycle. The June and December Solstices mark the longest and shortest days (in the Northern Hemisphere) and also mark the point in the year when the sun is directly overhead the Tropic of Cancer and the Tropic of Capricorn respectively. (These Tropics are the Northernmost and Southernmost points at which the sun can be seen directly overhead and, along with the Equator, the Arctic and Antarctic circles are the Earth’s circles of latitude.) The phases of the year, the seasons and meterological timetables are all mapped to the Calendar year via the information points from this, Tropical year, cycle.
To extend our Nautical-to-Market metaphors of tides (momentum), currents (value), and winds (uncertainty) to the idea of a Nautical- to -Market Almanac, we can see that navigating the Market Year may also benefit from a mapping from the Market year to the Calendar year. This is not to suggest that these are two completely different things, but to simply assume that market events and developments are dictated by simple Calendar dates would also be wrong. Where predictable events in the Market year calendar have potential to add risk or uncertainty to individual asset level or market wide returns, it is good to be able to catalogue them in advance.
The holiday calendar
The first step is to review how the Market and Calendar Years map themselves, in terms of known events and recognised actions of market participants. The Market holiday calendar is an obvious start point as, when examining market activity (in the form of price action) and matching this with the flow of information relating to the market that becomes available on a daily basis, we want to match the latest available fundamental information with a live close price – not one from a number of days earlier. Market Holidays are not set by the Market calendar but by the local country calendar of public holidays, feast days and other festivals. Bank Holidays – particularly in the US – occur almost monthly (when including Easter Friday and Christmas Day), with only March/April (depending on Easter) and October being months where no Bank Holidays occur. For the most part these are simple dates to be aware of (Memorial Day, Martin Luther King Day etc.) and will be well known to market participants.
We have not included most of these holidays in the Almanac, but there are several date-specific holidays that are particularly relevant from a US market perspective such as July 4th , Labor Day, and Thanksgiving. These are included because they do tend to impact on not only price action but also reflect a more seasonal pattern of participant activity. Post July 4th, the idea of traders, politicians and business leaders taking-off for the summer, only to come back after the Labor Day weekend in early September – whether true or not – is widely regarded as a behavioural phenomenon of the US markets. Similarly, the “winding down” to Thanksgiving – even to the extent of funds “shutting down their books” for the year by end-November – has emerged as a market feature.
The investor calendar
Most existing Investment Fund models rebalance in line with their reporting schedules – not the other way around. Quarterly reports are the norm in Fund Management, so calendar-based, end-quarterly, or half yearly rebalances are typical, alongside reported quarterly and year-to-date (YTD) returns. The Market Almanac doesn’t really need to do much more than note these dates, and acknowledge that there may exist some short-term window dressing/tax loss harvesting or book squaring activities in the run up to these periodic calendar dates. This is not to dismiss the impact on short term volatility or price activity in general that this can have, but the point is that it is not a consistent event with a known likely outcome – more of a storm warning close to time than a long-range forecast. We can also add in the likely seasonal activity of the IPO calendar. Spring (March-May) and Fall (September to November) tend to be the favoured periods for launches as they are regarded as coinciding with periods of increased investor activity, post either a summer lull or a lower level of engagement through winter, as some further (perceived) evidence of seasonal market behaviour.
The product calendar
A second layer of more structural, internal market action dates comes from funds or products (passive funds, ETF’s etc) whose memberships are tied to benchmarks such as the MSCI or S&P Indices as there is a slightly different calendar of Index events that can dictate when these take place. These include both announcements (additions/deletions) and implementations for the major benchmarks that can lead to sometimes significant price activity at the individual stock, sector/thematic ETF level. Shorter term trading Funds (CTA’s) are more likely to have a monthly rebalance (normally month end) for reporting purposes but we also see the periodic impact of options expiries – both in terms of monthly rolls but particularly the “triple witching” expiries of stock options, stock index futures, and stock index options contracts on the third Friday of June, September, December and March that may lead to significantly more price volatility around these dates from trading activity.
The reporting calendar
The last point to note is the (now standard) quarterly frequency of company financial reporting. The “earnings season” is itself a market phenomenon that takes place from the middle of the month after calendar quarter end and lasts for around 6-weeks – so mid-October to end-November, mid-January to end-February mid-April to end May and mid-July to end-August . Given the, sometimes significant, price action around company reporting, market investors take this seasonality very much into account. However, given that, collectively, the duration of these quarterly earnings seasons’ account for approximately half of the trading year, it needs to be put into context. Individual stocks will always be vulnerable to information shocks on reporting, but the broader, thematic, sectoral and market level insights and “tone” for the period ahead tend to be formed within a much shorter, 1–3 week time frame e.g. largely within the calendar month that the reporting season starts (July, October, January and April).
Each of these “reporting months” tend to have their own characteristics:
October helps to set the tone for the run into current year end – especially for those who do look to close down their trading books by Thanksgiving. Yet it is also where investors get first sight from the companies themselves on the year ahead so can also shape market expectations for the year ahead.
January helps to confirm whether full year expectations have been met (for the prior year) and form a baseline for future expectations.
April is mostly focused upon confirming prospects for the rest of the year after what has been seen as the good/bad/as anticipated start to the year.
July tends to be a reality check on progress.
The Observers Calendar
It goes without saying that Analyst comments and research reports largely map to these corporate updates, but with a corporate conference calendar that tends to concentrate into the six-eight-week period from late September to mid/late November, this can also be period of high frequency “noise”. (Other conferences do happen around the year but tend to be of lower market impact).
The Libra Smart Alpha Calendar
The conclusions that we can draw from the construction of the Market Almanac are reflected in the final element of the calendar below – the Smart Alpha Calendar.
Note that the Apollo Smart Alpha strategies (in blue) rebalance every two months and this is a time frame that allows for a regular rebalance of risk and return that is neither too frequent (monthly or less) or infrequent (quarterly or longer). The timings of the Libra annual investment cycle are designed to avoid, as much as possible, the noise or illiquidity events associated with the holiday, investor, reporting or observer calendars (month end/quarter end) etc. Instead, they align with the overall market and product calendars with some (possibly not coincidental?) correlations to the Tropical calendar.
Rebalances on (or close to) the Summer and Winter Solstices and proportionally either side of the Spring and Autumn Equinoxes gives us six “Sprints” or rebalances a year. These take place after the US market close on the third Wednesday (after the third Tuesday) of every other month – February, April, June, August, October, December. These form an important schedule for the Apollo story line as it is on this timeline that we not only rebalance the stock memberships of our Smart Alpha portfolios but also rebalance back to neutral the Factor Risk exposures that each portfolio is running.
| August 2025 |
| MSCI Review Announcement – Thursday August 7th effective date Wednesday 27th August |
| Apollo Rebalance – Wednesday 20th August |
| Q2 Earnings season ends around 25th August |
| September 2025 |
| Fall IPO season and major Corporate Events season starts |
| Labor day holiday Monday 1st September |
| Triple Witching options expiry 19th September |
| NASDAQ quarterly Rebalance 19th September |
| SP500 quarterly Rebalance 19th September |
| Q3 period End Tuesday 30th September |
| October 2025 |
| Q3 Earnings season kicks off around Early/Mid October – around 15th |
| Apollo Rebalance -Wednesday 22nd October |
| November 2025 |
| MSCI Review Announcement – Tuesday November 11th |
| Q3 Earnings season ends around 26th November |
| Thanksgiving – 27 November |
| IPO season and major Corporate Events season comes to a close |
| December 2025 |
| MSCI effective date Monday 1st December |
| Apollo Rebalance – Wednesday 17th December |
| NASDAQ quarterly Rebalance 19th December |
| Triple Witching options expiry 19th December |
| SP500 quarterly Rebalance 19th December |
| Q4 period End, H2 period End, 2025 period end Wednesday 31st December |
| Christmas day holiday – Thursday 25th December |
| Majority Financial year ends – December 31 |
| January 2026 |
| Q4 Earnings season kicks off Early/Mid-January – around 14th |
| February 2006 |
| MSCI Review Announcement – Tuesday February 10th |
| Chinese New Year (Tuesday 17th February) Holiday February 15th – February 22nd |
| Apollo Rebalance – Wednesday 18th February |
| Q4 Earnings season ends around 25th February |
| March 2026 |
| MSCI effective date Wednesday 2nd March |
| Spring IPO season and minor Corporate Events season starts |
| NASDAQ quarterly Rebalance 20th March |
| Triple Witching options expiry 20th March |
| S&P500 quarterly Rebalance 20th March |
| Q1 period End Tuesday 31st March |
| April 2026 |
| Good Friday – 3rd April – Easter Monday 6th April |
| Q1 Earnings season kicks off Early/Mid -April – around 14th |
| Apollo Rebalance – Wednesday 22nd April |
| May 2026 |
| May Day Holiday, Monday 4th May |
| MSCI Review Announcement – Tuesday May 12th |
| Q1 Earnings season ends around 27th May |
| Spring IPO season and minor Corporate Events season ends |
| June 2026 |
| MSCI effective date Monday 1st June |
| Apollo Rebalance – Wednesday 17th June |
| NASDAQ quarterly Rebalance 19th June |
| Triple Witching options expiry 19th June |
| S&P500 quarterly Rebalance 19th June |
| Q2 period End, H1 period End Tuesday 30th June |
| July 2026 |
| Independence Day holiday USA – Friday 3rd July |
| Q2 Earnings season kicks off around Early/Mid July – around 15th |