Strategies · Core
Turn of the Month in Equity Indexes
Be long the index around month-end / month-start and lighter mid-month — a calendar clustering of returns.
Definition
Typical window: last trading day plus first three of the new month (definitions vary). Hold index futures or ETFs only in that window. The rest of the month is cash or a reduced beta.
Why it matters
Month-end rebalancing, paychecks, and window dressing are the usual stories. Once everyone knows the window, the edge migrates or dies.
Case
A TOM book that is just long beta on the four best days of the sample. Out-of-sample after 1990s papers is the test.
How to read it
Exact days, costs of 12 round-trips a year, and whether futures cheapen the implementation. Do not data-mine the window.
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