The following chart plots the average daily returns for the 31 calendar days in a month for the S&P 500 index over the period 1950-2015. (NB. This is looking at calendar – not trading – days of the month.) For example, since 1950, the S&P 500 index has on average increased 0.22% on the 1st day of each month.

Observations

1. The first day of each month has the highest average daily return for the S&P 500 index. Followed by the last day of the month.
2. The worst average daily return has been on the 9th of the month
3. As can be seen in the chart, the periods of strongest daily returns occur in the first and last weeks of months.
4. Three particular phases of the month can be highlighted:

• Phase 1 (1st-6th): the index sees positive daily returns
• Phase 2 (18th-22nd): the index sees negative daily returns
• Phase 3 (26th-31st): the index sees positive daily returns

The chart below replicates that above, but highlights these three phases of months.