One of the greatest regularities known to seasonal players is the tendency for the market to rise on the first day of the month. It was strange, as for many years despite its wide dissemination, it continued. Indeed for the last 180 of them, the market has rises about 62% of the time, averaging up about 1/3 of a % on the day. Indeed, the entire market gain during the last 15 years in a sense came on the first day of the month, and you would have lost money by buying on all the other days.

How could something so widely anticipated and disseminated actually give someone a chance to profit? Possibly it was due to the fixed schedule of purchases and sales of investors who received pay checks and institutions that put their money to work at the end of the month. Based on the regularity, an ETF giving investors the opportunity to participate in the regularity was formed. It is interesting to consider the performance of the market on the first day of the month in 2011 in that context.

Performance first day of month 2011 S&P futures

Jan +08

Feb +17

March -21

April +8

May -11

June -32

July +20

Aug -45

Sep -49

Oct -08

Nov -25

The average is down 10, about 0.8% down so far this year with six of the last 7 being particularly ruinous.

Thus, another seasonal regularity, one of the most long standing, and one that had the most reasonable foundation for working goes to boot hill. 


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