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
- 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.
- The worst average daily return has been on the 9th of the month
- As can be seen in the chart, the periods of strongest daily returns occur in the first and last weeks of months.
- 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.