Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for February 2020 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for February 2020 (Final)
1st ETF 2nd ETF 3rd ETF

Turn-of-the-Month Effect Persistence and Robustness

| | Posted in: Calendar Effects

Is the Turn-of-the-Month (TOTM) effect, a concentration of relatively strong stock market returns around the turns of calendar months, persistent over time and robust to different market conditions. Does it exist for all calendar months? Does it persist throughout the U.S. political cycle? Does it work for different equity indexes? To investigate, we define TOTM as the interval from the close five trading days before to the close four trading days after the last trading day of the month (a total of eight trading days, centered on the monthly close). Using daily closes for the S&P 500 Index during January 1950 through early March 2019 (831 TOTMs) and for the Russell 2000 Index during September 1987 through March 2019 (379 TOTMs), we find that:

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Login
Daily Email Updates
Filter Research
  • Research Categories (select one or more)