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U.S. Stock Market End-of-Quarter Effect

Steve LeCompte | | Posted in: Calendar Effects

Guide Calendar Effects Turn of the month and year

Key Insight

S&P 500 quarter-end (QEND) 8-day windows showed modestly higher average returns than turn-of-the-month windows, with Q3 consistently weak across subperiods (daily closes, Jan 1928–mid-Aug 2026; QEND/TOTM comparisons; descriptive, not a trading test).

Does the U.S. stock market have a predictable pattern of returns around ends of calendar quarters? Do funds deploy cash to bid stocks up at quarter ends to boost portfolio values in quarterly reports (with subsequent reversals)? Or, do they sell stocks to raise cash for fund redemptions? Is any end-of-quarter effect distinct from the Turn-of-the-Month (TOTM) effect? To investigate, we calculate average daily stock market (S&P 500 Index) returns before and after ends of calendar quarters and compare those returns to TOTM returns. Using daily closes of the S&P 500 Index during January 1928 through mid-August 2026, we find that:

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Calendar Effects guide

More on turn of the month and year

All 183 articles in the Calendar Effects guide

Further Reading

Calendar Effects Does the Turn-of-the-Month Effect Work for Sectors? Average abnormal turn-of-the-month returns across nine Select Sector SPDR ETFs declined from 0.6% (first half) to 0.1% (second... Calendar Effects Does the Turn-of-the-Month Effect Work for Asset Classes? Average abnormal turn-of-the-month returns across 10 asset class ETFs (vs all eight-trading-day intervals) were 0.4% in first sample... Calendar Effects, Political Indicators Stock Market and the National Election Cycle Presidential term Year 3 shows the highest average annual S&P 500 Index return, while Year 2 is somewhat... Calendar Effects, Investing Expertise Using AI to Discover Calendar-based Return Anomalies Grok-identified turn-of-the-month window (last 3 to first 3 trading days; 38% of days) averaged 0.084% daily S&P 500... Calendar Effects Stock Market Returns Around Labor Day S&P 500 shows modest strength one day before Labor Day but recent data undermines the pattern, with noise... Calendar Effects Stock Market Behavior Around Mid-year and 4th of July S&P 500 shows modest positive bias around mid-year through July 4th (0.087% vs 0.036% average daily return; 1950-2024;...