Seasonality in Swiss REIV Prices

Evidence from Listed Real Estate Investment Vehicles, 2010–2025

In equity markets, calendar effects are well documented. The "Sell in May" effect, the January effect, and turn-of-the-month patterns have been studied for decades across global markets. Yet for Swiss traded real estate securities—listed real estate funds (SWIIT), listed real estate shares (REAL), and unlisted funds traded on OTC secondary markets, a combined segment exceeding CHF 60 billion—no systematic study had examined whether similar patterns exist.

This study analyses 82 Swiss listed real estate funds and shares over 15 years (January 2010 to February 2026), representing over 9,300 fund-month observations from Quanthome's proprietary database.

Key Findings

Monthly Return Patterns

The best-performing months are July (+1.08%) and December (+1.12%). The weakest are May (−0.60%), October (−0.42%), and August (−0.24%). The popular "Sell in May" adage finds partial support: May is indeed the worst month. However, the supposed summer weakness is interrupted by a strong July, so the pattern is not a continuous dip but rather an alternation of positive and negative months.

A regression model confirms that the twelve months are not all equal—the joint test is significant at the 5% level. However, when each month is tested individually with appropriate correction for multiple comparisons, none survives. The pattern should be viewed as a tendency rather than a reliable trading signal.

The Dividend Effect

The most striking calendar-related finding is not about months at all, but about dividends. Swiss listed real estate funds typically distribute dividends once a year, with ex-dates concentrated in April (37% of events) and December (16%).

Around these dates, prices tend to drift upward in the two weeks before the ex-date, then drop sharply on and after the ex-date as the dividend is detached from the share price. The net effect over an 11-trading-day window around the ex-date is approximately −2.9%, which is highly significant statistically.

This price drop is largely mechanical and should not be conflated with a genuine anomaly that could be exploited. The dividend effect likely contributes to the observed monthly seasonality: April and May weakness may partly reflect post-dividend price adjustments, while December and January strength may reflect pre-dividend positioning.

Vehicle Type and Robustness

The seasonal profile is broadly similar across residential, commercial, and mixed-use portfolios, and across vehicle types (listed funds and real estate firms). The seasonal pattern appears to be a market-wide phenomenon rather than a segment-specific one.

The broad seasonal shape persists across four market regimes—post-GFC recovery (2010–2014), yield compression (2015–2019), COVID and aftermath (2020–2021), and the SNB rate normalisation era (2022+).

Caveats for Investors

• Not a trading signal. The seasonal differences are modest—on the order of 1–2 percentage points between the best and worst months—and no single month is reliably strong or weak enough to anchor a strategy.
• Transaction costs are real. Many Swiss listed real estate vehicles trade thinly, with wide bid-ask spreads. After accounting for realistic trading frictions, the observed seasonal differences would likely vanish.
• Survivorship bias. The sample includes only vehicles that were active at the time of extraction.
• Past patterns may not persist. The seasonal shape shows some stability across market regimes, but 15 years of data provides limited statistical power.

Download the Full Study

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