Sectoral Intramonth Momentum Cycle: Exploiting Turn-of-the-Month Patterns in Sector ETF Strategies 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 ...