Turn-of-the-Month Effect: does it work?
The turn-of-the-month effect, stocks drifting higher in the last and first few sessions of the calendar month, is one of the oldest calendar anomalies in finance.
The rule we tested. Long only the last and first few trading sessions of each calendar month, flat the rest of the month, the standard turn-of-month calendar rule.
- Turn-of-month equity drift (1 ETF (QQQ standing in for SPY)), 2005-01-04 to 2025-03-14, costs 0.05% per side: −10.4 pts/yr vs buy-and-hold across 243 trades, p=1.000, q=1.000 after correction: did not beat buy-and-hold.
No. ETF −10.4 pts/yr vs buy-and-hold (p=1.000, q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it.
This is one line in a wider check: Tickfloor's research desk has run 401 strategies against buy-and-hold, and after correcting for how many were tested (Benjamini-Hochberg, 444 tests), 0 survived. A single win-rate claim like this one is exactly the kind of result that check exists to catch before anyone trades on it.
General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.
Does the turn-of-the-month effect work?
No. ETF −10.4 pts/yr vs buy-and-hold (p=1.000, q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it.
What exact rule did Tickfloor test?
Long only the last and first few trading sessions of each calendar month, flat the rest of the month, the standard turn-of-month calendar rule.
Is this financial advice?
No. This measures a publicly claimed strategy rule, not a recommendation. General information only, not personal advice.
See the full numbers on the Calendar-event drift family page, or the full method and every result.
Other rules we've tested: Sell in May, 12-1 Month Momentum, Dual Momentum (GEM).
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