The end-of-month rally, also known as the "
Turn of the Month Effect", is one of the most well-known
seasonal anomalies in financial markets. According to numerous studies,
stock and index returns tend to concentrate during the last trading days of the month and the first trading days of the new month.
But does this effect still work today? In this podcast, we analyze
more than 100 years of historical Dow Jones data, from 1910 to the present day, to determine whether the end-of-month rally has remained stable over time, how it behaved across
different market regimes, and what may actually be causing this seasonal anomaly. The analysis is also divided into
three major historical periods of roughly 40 years each, allowing us to evaluate the long-term statistical robustness of the phenomenon. We will also discuss:
- buy and hold vs seasonal strategy
- drawdowns and risk management
- historical outliers such as 1929, 2008, and 9/11
- institutional flows and capital inflows
- possible explanations behind the Turn of the Month Effect
Enjoy listening and happy trading! 😉
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