This Month-End Market Anomaly Accounts For Nearly All Stock Returns

It’s dangerous to get too enamored with data-mined results that could be a random fluke (there is a lot of data out there to mine) as easily as it could be a real anomaly with predictive value, but sometimes the trend just bowls you over.

“Since 1926, one could have held the S&P 500 index for only seven business days a month and pocketed almost the entire market return with forty percent lower volatility compared to a buy and hold strategy,” write Kalle Rinne, Matti Suominem, and Lauri Vaittinen in their recent paper Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns.