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The End Of EOM? Strategy And Re-Balancing

|Includes: SPDR S&P 500 Trust ETF (SPY)

Historically and up to 2013, equities have exhibited a positive bias during the end of the month. Here is an example of buying the SPY etf on the first down-day after the 23rd and selling on the first up-day of the next month. Trading is at the same day close.

This has been well documented in academic papers as well as blogs. The main reason quoted for this persistent bias has been end-of-month window dressing. As one of my favorite author/blogger/trader, Mr. Gr√łtte, has also recently blogged here the EOM bias is no more.


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