The turn of the month on SPY
Has SPY done better around the turn of the month than in ordinary sessions?
From 2000 to 2025, this rule did better than holding SPY for the same number of sessions in 15 of 26 years. Its average trade returned +0.24% gross, against +0.15% for holding SPY over the same number of sessions: an average excess of +0.09%.
Years it did no better than holding: 2002, 2007, 2008, 2009, 2011, 2014, 2015, 2016, 2018, 2024, 2025.
The turn-of-the-month effect is the old observation that stocks have tended to rise around the last session of one month and the first sessions of the next. This page holds SPY from the session before the month's last session to the third session of the next month, every month, and compares every year with holding SPY for the same number of sessions.
Research through 2025-12-31; prices through 2026-10-16. Gross, before any trading cost or tax. Computed on history: see the hypothetical performance notice and how these pages are computed.
SPY
Enter 1 session before the month end, exit 3 sessions after it, every month
Every figure is gross, and compares each trade with holding SPY for the same number of sessions.
Summary
+0.24%
+0.15%
+0.09%
+0.19%
+1.07%
58%
15 of 26 years
59%
183 of 311 trades
65%
17 of 26 years
-0.08%
65%
15 of 23 windows
-13.17%
+0.05%
26Trades 311 12.0First half +0.16%Second half +0.02%Best year, per trade 2020 +1.15% 2018 -0.76%
: 2026, out of sample
Every trade that closed after 2025-12-31, through 2026-10-16. None of them reached a figure above: this is the rule on prices it was not measured on. Gross, at the open.
Trades closed
10
7 of 10 up
Return, summed
+9.49%
Excess, summed
+7.97%
over holding SPY the same length
Position now
None
| Entry | Exit | Return | Excess | |
|---|---|---|---|---|
| 2026-09-29 | 2026-10-05 | +0.37% | +0.15% | +0.22% |
| 2026-08-28 | 2026-09-03 | -0.50% | +0.15% | -0.65% |
| 2026-07-30 | 2026-08-05 | +5.41% | +0.15% | +5.26% |
| 2026-06-29 | 2026-07-06 | +1.66% | +0.15% | +1.51% |
| 2026-05-28 | 2026-06-03 | +1.05% | +0.15% | +0.90% |
| 2026-04-29 | 2026-05-05 | +1.51% | +0.15% | +1.36% |
| 2026-03-30 | 2026-04-06 | +2.46% | +0.15% | +2.31% |
| 2026-02-26 | 2026-03-04 | -1.68% | +0.15% | -1.83% |
| 2026-01-29 | 2026-02-04 | -0.87% | +0.15% | -1.02% |
| 2025-12-30 | 2026-01-06 | +0.07% | +0.15% | -0.08% |
Next trades
- Enter at the open of Oct 29, 2026, exit at the open of Nov 4, 2026
- Enter at the open of Nov 27, 2026, exit at the open of Dec 3, 2026
- Enter at the open of Dec 30, 2026, exit at the open of Jan 6, 2027
Yearly excess with rolling 4-year average
Each bar is a year's mean excess per trade over holding SPY for the same length. The line is the mean of four consecutive years, drawn at the last of them; a missing year breaks it.
Every year (26)
| Year | Trades | Return | Mean excess | Total excess | |
|---|---|---|---|---|---|
| 2000 | 12 | +1.19% | +0.15% | +1.04% | +12.51% |
| 2001 | 12 | +0.26% | +0.15% | +0.11% | +1.36% |
| 2002 | 12 | -0.46% | +0.15% | -0.62% | -7.39% |
| 2003 | 12 | +0.88% | +0.15% | +0.73% | +8.77% |
| 2004 | 12 | +0.34% | +0.15% | +0.19% | +2.31% |
| 2005 | 12 | +0.87% | +0.15% | +0.72% | +8.62% |
| 2006 | 12 | +0.18% | +0.15% | +0.02% | +0.30% |
| 2007 | 12 | -0.01% | +0.15% | -0.16% | -1.91% |
| 2008 | 12 | +0.05% | +0.15% | -0.10% | -1.26% |
| 2009 | 12 | -0.12% | +0.15% | -0.28% | -3.31% |
| 2010 | 12 | +0.74% | +0.15% | +0.59% | +7.04% |
| 2011 | 12 | -0.54% | +0.15% | -0.70% | -8.36% |
| 2012 | 12 | +0.63% | +0.15% | +0.47% | +5.68% |
| 2013 | 12 | +0.30% | +0.15% | +0.14% | +1.73% |
| 2014 | 12 | +0.07% | +0.15% | -0.08% | -0.94% |
| 2015 | 12 | -0.02% | +0.15% | -0.17% | -2.01% |
| 2016 | 12 | 0.00% | +0.15% | -0.15% | -1.83% |
| 2017 | 12 | +0.48% | +0.15% | +0.32% | +3.89% |
| 2018 | 12 | -0.61% | +0.15% | -0.76% | -9.11% |
| 2019 | 12 | +0.20% | +0.15% | +0.04% | +0.54% |
| 2020 | 12 | +1.30% | +0.15% | +1.15% | +13.81% |
| 2021 | 12 | +0.21% | +0.15% | +0.06% | +0.76% |
| 2022 | 12 | +0.61% | +0.15% | +0.46% | +5.48% |
| 2023 | 12 | +0.52% | +0.15% | +0.36% | +4.37% |
| 2024 | 12 | -0.48% | +0.15% | -0.63% | -7.56% |
| 2025 | 11 | -0.36% | +0.15% | -0.51% | -5.61% |