Fractiz
Pattern Detail
Turn-of-Month Effect
Whether the recurring window around month boundaries produces different RTH returns than the rest of the month.
Baseline Avg Return
+0.063%
Across 4,678 NQ sessions
Largest Deviation
+0.001%
Turn Of Month vs baseline mean
Sample Range
1d
2008-01-02 to 2026-02-24
Trigger: Last 3 + first 2 trading sessions of each month
Per-Window Stats
| Window | Sessions | Avg Return | Median | Win Rate | Std Dev | Δ vs Baseline |
|---|---|---|---|---|---|---|
| Turn Of Month | 1,090 | +0.064% | +0.114% | 54.3% | 1.36% | +0.001% |
| Baseline (all sessions) | 4,678 | +0.063% | +0.116% | 55.5% | 1.41% | — |
Detection scan: NQ 1d · 2008-01-02 to 2026-02-24 · generated Apr 27, 2026
What this pattern measures
The turn-of-month window is the last 3 trading sessions of each month plus the first 2 trading sessions of the following month. Approximately 5 sessions per monthly boundary, or roughly a quarter of all trading days.
Definitions used on this page:
- Sessions are aggregated from RTH bars only (08:30 to 15:00 Central Time for CME equity index futures).
- Return is
(close − prior close) / prior close. - Baseline is every session in the sample. The turn-of-month bucket is a subset of that, so the delta describes how much the window pulls above or below the overall mean.
Why it matters
Equity inflows from retirement accounts, dividend reinvestment, and month-end portfolio rebalancing have historically clustered at month boundaries. The turn-of-month effect is the empirical claim that these flows nudge index returns higher in a recurring 5-day window each month. The numbers below say whether that’s actually true for this instrument and date range.
How to read the numbers
- The Turn-of-month bucket holds just the sessions inside the window.
- The baseline holds every session in the sample (the bucket is a subset). Compare directly.
- Delta vs baseline is the difference of means. A small positive delta with a high count is a real if modest edge; a large delta with a low count is more likely noise.
- Win rate complements the mean. A higher win rate alongside a higher mean reinforces the directional claim.
What’s not here
- Different window definitions (some authors use last 4 + first 3, or only the last 2 of each month).
- Month-end conditioning (turn of December may behave differently than turn of June).
- Bond-market or FX equivalents.