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Does the Turn-of-the-Month Effect Work for Asset Classes?

Steve LeCompte | | Posted in: Calendar Effects

Guide Calendar Effects Turn of the month and year

Key Insight

Average abnormal turn-of-the-month returns across 10 asset class ETFs (vs all eight-trading-day intervals) were 0.4% in first sample halves versus 0.1% in second halves and last fourths (inceptions 1993-2007 through Aug 2026; descriptive; not a trading test).

Does the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, work across a broad set of asset classes. To investigate, we measure turn-of-the-month (TOTM) returns for the following 10 asset class exchange-traded funds (ETF) used in the "Simple Asset Class ETF Momentum Strategy" and the "Simple Asset Class ETF Value Strategy":

  • Invesco DB Commodity Index Tracking Fund (DBC)
  • iShares MSCI Emerging Markets Index (EEM)
  • iShares JPMorgan Emerging Markets Bond Fund (EMB) 
  • iShares MSCI EAFE Index (EFA)
  • SPDR Gold Shares (GLD)
  • iShares Russell 2000 Index (IWM)
  • iShares iBoxx $ Investment Grade Corporate Bond (LQD)
  • SPDR S&P 500 ETF Trust (SPY)
  • iShares Barclays 20+ Year Treasury Bond (TLT)
  • Vanguard REIT ETF (VNQ)

We define TOTM as the eight-trading day interval from the close five trading days before the first trading day of a month to the close on the fourth trading day of the month. Using daily dividend-adjusted closes for these ETFs from their respective inceptions (ranging from February 1993 for SPY to December 2007 for EMB) through mid-August 2026, we find that:

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Calendar Effects guide

More on turn of the month and year

  • Turn of the Year and Size in U.S. Equities Premium Is there a material and reliable market capitalization (size) effect among U.S. stocks around the turn-of-the-year (TOTY)? To check, we track cumulative returns from…
  • U.S. Stock Market End-of-Quarter Effect Premium 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…
  • Turn-of-the-Month Effect for Currencies? Premium Turn-of-the-month (eight trading days centered on month-end) average abnormal returns for UUP, FXE and FXY versus all eight-day intervals were very small, with no…
  • Does the Turn-of-the-Month Effect Work for Sectors? Premium Average abnormal turn-of-the-month returns across nine Select Sector SPDR ETFs declined from 0.6% (first half) to 0.1% (second half) and 0.0% (last fourth) (Dec…
  • Stock Market Behavior Around Mid-year and 4th of July Free S&P 500 shows modest positive bias around mid-year through July 4th (0.087% vs 0.036% average daily return; 1950-2024; 10-day windows), but inconsistencies across subperiods…

All 184 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, Currency Trading Turn-of-the-Month Effect for Currencies? Turn-of-the-month (eight trading days centered on month-end) average abnormal returns for UUP, FXE and FXY versus all eight-day... Calendar Effects Asset Class ETF Seasonalities? Average monthly returns for nine asset class ETFs (SPY, IWM, EFA, EEM, TLT, LQD, VNQ, GLD, DBC) are... Calendar Effects U.S. Stock Market End-of-Quarter Effect S&P 500 quarter-end (QEND) 8-day windows showed modestly higher average returns than turn-of-the-month windows, with Q3 consistently weak... Equity Premium, Momentum Investing, Size Effect, Value Premium, Volatility Effects Are Equity Multifactor ETFs Working? Equal-weighted portfolio of eight multifactor ETFs underperformed an equal-weighted portfolio of their benchmarks (IWB, ACWX, SPY, MDY, IWV):... Commodity Futures, Currency Trading Are Managed Futures ETFs Working? An equal-weighted portfolio of six managed futures ETFs underperformed a monthly rebalanced 60% SPY/40% LQD portfolio (CAGR 1.6%...