Economy & PolicyCore researchlive in production

Calendar Anomalies

Updated annualData needs: lowlong only

In plain terms

Three calendar quirks: turn-of-month (last/first days outperform), pre-FOMC drift, and day-of-week (Mon weak, Wed-Thu strong).

How it works

Three robust calendar effects bolted into one family. (1) TURN-OF-MONTH (Ariel 1987, Lakonishok-Smidt 1988): the last 1 + first 3 trading days of each month deliver ~80% of the entire month's market return — long the window, flat otherwise. (2) PRE-FOMC DRIFT (Lucca-Moench 2015): the 24h before scheduled FOMC announcements show ~3-5% annualized excess return; we proxy the calendar at ~5-6 week cadence. (3) DAY-OF-WEEK (French 1980): Monday historically weak, Wed-Thu strongest — long Wed-Thu only.

Live results

69 times picked on its own · 133 times inside a blend (114 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 133 such blended picks (114 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: ~3-5% ann. pre-FOMC (Lucca-Moench 2015)
Tested over: 1994-2011

Lucca-Moench (2015) report ~3.9% ann. on the pre-FOMC drift alone; turn-of-month adds ~0.5%/month on the broad market.

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