Guide · Calendar
Does Turn of the Month work?
Across 375 stocks, Turn of the Month cut the worst fall on 98%, beat buying and holding on risk-adjusted return on 17% and on raw return on 16%. Mainly a seatbelt: it softened the big falls on most stocks, but usually gave up return to do it.
What it predicts
Returns bunch up around the start of each month. Hold for four trading days: the last day of a month and the first three of the next.
- In at the close two trading days before month-end.
- Out at the close on the third trading day of the new month.
Calendar plays bet that some parts of the year and month have been reliably stronger than others. The family guide
How to use it
- It trades often (about 24 switches a year per stock), so costs, spreads and taxes eat into it more than the backtest's 0.05% per switch suggests.
- It sits in cash much of the time (holding on about 19% of days), so judge it on risk-adjusted return rather than on matching a rising market.
- It worked best on Metals & mining (43% beat holding on risk-adjusted return) and worst on Big tech (0%).
- Use it as one input. Your signal combines the plays you count with the other factors you weight into one call.
When it worked
Turn of the Month did best against holding in the 2008 crash (+35% median gap) and worst in the 2020–21 rally (−39%). Median gap in return against holding the same stock (per year over stretches longer than 18 months; crypto excluded).
| 2008 crash | Recovery 2009–19 | COVID drop | 2020–21 rally | 2022 bear | Since Oct 2022 | |
|---|---|---|---|---|---|---|
| Turn of the Month | +35% | −14% | +29% | −39% | +19% | −15% |
Where it worked
By kind of stock: how often it beat holding on risk-adjusted return, and the median Sharpe ratio gap.
| Group | Beat holding, risk-adjusted | Sharpe gap |
|---|---|---|
| Metals & mining | 43% | -0.04 |
| Micro caps | 33% | -0.27 |
| Media & telecom | 30% | -0.17 |
| Real estate | 26% | -0.24 |
| Energy & power | 17% | -0.24 |
| Healthcare | 17% | -0.21 |
| Industrials & materials | 14% | -0.24 |
| Industrials & rentals | 11% | -0.32 |
| Software & devices | 9% | -0.33 |
| Financials | 8% | -0.43 |
| Consumer & retail | 6% | -0.37 |
| Semiconductors | 4% | -0.35 |
| Sectors | 0% | -0.34 |
| Indexes & ETFs | 0% | -0.40 |
| Big tech | 0% | -0.57 |
Where it helped most
Sharpe ratio gap against holding, stocks with 3+ years of history
Right now
Turn of the Month holds 0 of 377 names as of the Oct 13, 2026 close.
Changed its call in the last two weeks:
- S&P 500 went out Oct 5, 2026
- Nasdaq-100 went out Oct 5, 2026
- Dow went out Oct 5, 2026
- Russell 2000 went out Oct 5, 2026
- TSX went out Oct 5, 2026
- XLK went out Oct 5, 2026
- SMH went out Oct 5, 2026
- XLC went out Oct 5, 2026
Backtest results since 2005 (or as long as each stock has traded), against holding the same stock over the same dates, after 0.05% per switch. Past results don't promise future ones. This analysis does not constitute trading advice. Please meet with an advisor or independently review sources before making any decision.