Turn-of-the-Month Long Strategy for Equity Indexes

Summary

This document describes a seasonal, long-only strategy based on the hypothesis that stocks tend to rise near month end and during the first few days of the following month. Its default schedule enters shortly before month end and closes early in the next month. The script uses calendar dates and weekday adjustments to handle the intended timing, and exposes the number of days before month end and after month start as inputs. It suggests the approach may be especially relevant to the S&P 500.

The document reports that the strategy is invested for about a quarter of the time and claims a return per time invested similar to long-term index ownership with lower drawdown. However, it provides no supporting performance table, sample period, or detailed backtest assumptions in the supplied text. The result should therefore be treated as an unverified claim rather than established evidence. Calendar handling and the choice of market may affect outcomes, and the short description does not explain why the seasonal effect might persist beyond beginning to introduce possible hypotheses.

Key ideas

• The strategy takes long exposure around the transition from one month to the next.
• Its default timing enters before month end and exits a few days into the new month.
• Calendar and weekday conditions adjust the entry and exit signals.
• The document claims reduced market exposure and drawdown but supplies no detailed evidence in the excerpt.
• The approach is presented as a seasonal effect, with no guarantee that it will persist.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.