Fractiz
Pattern Detail
Turn-of-Month Effect
Whether the recurring window around month boundaries produces different RTH returns than the rest of the month.
Reliable effect
None
No window is distinguishable from the baseline.
Baseline Avg Return
+0.065%
Across 4,724 NQ sessions (1d)
Windows tested
1
0 reliable, 1 within noise
Summary
No window beats the all-session baseline beyond chance. Every difference below is within the margin of error, the seasonal effect is not measurable here.
Per-Window Stats
| Window | Sessions | Avg Return | % Up | Std Dev | Δ vs Baseline | Verdict |
|---|---|---|---|---|---|---|
| Turn Of Month | 1,100 | +0.064% | 54.3% | 1.36% | -0.000% | Noise |
| Baseline (all sessions) | 4,724 | +0.065% | 55.6% | 1.41% | — |
"Reliable" = the window's average return differs from the all-session baseline beyond a 95% chance threshold, on at least 30 sessions. Everything else is within the margin of error.
Reliable effect
None
No window is distinguishable from the baseline.
Baseline Avg Return
+0.042%
Across 4,724 ES sessions (1d)
Windows tested
1
0 reliable, 1 within noise
Summary
No window beats the all-session baseline beyond chance. Every difference below is within the margin of error, the seasonal effect is not measurable here.
Per-Window Stats
| Window | Sessions | Avg Return | % Up | Std Dev | Δ vs Baseline | Verdict |
|---|---|---|---|---|---|---|
| Turn Of Month | 1,100 | +0.050% | 52.3% | 1.17% | +0.008% | Noise |
| Baseline (all sessions) | 4,724 | +0.042% | 54.5% | 1.24% | — |
"Reliable" = the window's average return differs from the all-session baseline beyond a 95% chance threshold, on at least 30 sessions. Everything else is within the margin of error.
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.
- % Up complements the mean. A higher share of up sessions 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.
FAQ
Is the turn-of-month effect real?
The turn-of-month effect is the claim that recurring flows around month boundaries nudge index returns higher in a fixed window. This page defines that window as the last 3 trading sessions of each month plus the first 2 of the next, roughly a quarter of all trading days, and compares it to a baseline of every session. The delta vs baseline on the page is the difference of means, so a small positive delta with a high count is a real if modest edge while a large delta with a low count is more likely noise. The numbers show whether it holds for this instrument and date range.
What is the turn-of-month effect?
It is the empirical observation that equity inflows from retirement accounts, dividend reinvestment, and month-end rebalancing cluster at month boundaries and have historically been associated with higher returns in that 5-day window. This page measures RTH close-to-close returns inside the window against the rest of the sample, reporting average return, the share of up sessions, and the delta. A higher share of up sessions alongside a higher mean reinforces the directional claim. Read the page to see how the window actually behaved here.