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Comparing Intra-month S&P 500 Index Behaviors

Steve LeCompte | | Posted in: Calendar Effects

The Trading Calendar has links to charts of average month-to-date return for the S&P 500 Index (SP500) by trading day during each month of the year. How do these cumulative return profiles compare? To illustrate, we construct a single chart that shows average cumulative return profiles within all 12 months. Using daily SP500 levels during January 1990 through February 2026 (a "modern" era), we find that:

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