Calendar / flows · issue of Sep 25, 2026 · Monthly window
The Turn-of-the-Month Effect
Six trading days around each month end.
Captured about 42% of the market's return while invested 29% of the time.
In cash — the next window opens Nov 25
Buys at this close: the window opens next session.
| Ticker | Name | Position |
|---|---|---|
| SPY | S&P 500 | Flat |
Track record
| Last 5 years | Since 2000 | Buy & hold SPY, since 2000 | |
|---|---|---|---|
| Annual return | 5.4% | 4.9% | 8.2% |
| Sharpe ratio | 0.63 | 0.53 | 0.51 |
| Worst drawdown | -15.3% | -19.0% | -55.2% |
A backtest with the issue's own costs, extended to the last close. Past performance does not guarantee future results.
Stance history
In the market 18 of the last 63 sessions, returning +1.0% across them. Last change Nov 5, 2026: Long → Flat.
Research Lab
Written down before the results existed: Every 21 sessions after the issue returns between -4.1% and +4.0%: the range of 90% of the 6,703 such stretches in the backtest up to Sep 25, 2026.
| Window | Return | Result | |
|---|---|---|---|
| Check 1 | Sep 28, 2026 – Oct 26, 2026 | +0.4% | Inside the range |
Check 2 is running: 12 of 21 sessions in, judged on Nov 24, 2026.
Standing check: the deepest fall since the issue is -2.6%, against a worst of -19.0% in the backtest — within it.
Checked by the program when each window completes and sealed into the record. Misses stay public; the record counts both ways.
The issue's numbers, reproduced
Every figure the issue printed, recomputed on the same window from the platform's own price history.
| Figure | In the issue | Recomputed | |
|---|---|---|---|
| Annual return | 4.8% | 4.9% | matches |
| Sharpe | 0.53 | 0.54 | matches |
| Worst drawdown | -19.0% | -19.0% | matches |
| Share of days invested | 28.7% | 28.6% | matches |
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