{"id":2048991,"date":"2016-05-30T15:03:20","date_gmt":"2016-05-30T09:33:20","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2048991"},"modified":"2016-05-30T15:27:09","modified_gmt":"2016-05-30T09:57:09","slug":"trading-day-of-month-returns","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2016\/05\/30\/trading-day-of-month-returns\/","title":{"rendered":"Trading Day of Month Returns"},"content":{"rendered":"<p>An analysis of daily returns of the NIFTY 50 index between 1998 and 2015 shows that:<\/p>\n<ol>\n<li>The first few and the last few trading days of a month are the best days to be <em>long<\/em>.<\/li>\n<li>Middle of the month returns are more volatile and, on an average, negative.<\/li>\n<li>Cumulative returns of a strategy that is long on the first 5 and the last 5 days of the month and short the others is 1,112.154% vs. 636.1821% of a buy and hold strategy.<\/li>\n<\/ol>\n<p><a href=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/05\/day-of-month.png\" rel=\"attachment wp-att-2049001\"><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/05\/day-of-month.png\" alt=\"day-of-month\" width=\"1200\" height=\"1800\" class=\"alignnone size-full wp-image-2049001\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/05\/day-of-month.png 1200w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/05\/day-of-month-200x300.png 200w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/05\/day-of-month-768x1152.png 768w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/05\/day-of-month-683x1024.png 683w\" sizes=\"auto, (max-width: 1200px) 100vw, 1200px\" \/><\/a><\/p>\n<p>Further reading: An Anatomy of Calendar Effects (<a href=\"http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1593770\" target=\"_blank\">SSRN<\/a>)<\/p>\n","protected":false},"excerpt":{"rendered":"<p>An analysis of daily returns of the NIFTY 50 index between 1998 and 2015 shows that: The first few and the last few trading days of a month are the best days to be long. Middle of the month returns are more volatile and, on an average, negative. Cumulative returns of a strategy that is &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2037461,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[3391,2761],"class_list":["post-2048991","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","category-your-money","tag-nifty","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2048991","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2048991"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2048991\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2037461"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2048991"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2048991"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2048991"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}