Post #3146 by DrBob2 on the Mechanical Investing board

Please be patient and understanding when interacting with others, and avoid getting frustrated or upset if someone does not respond to your posts or if a discussion does not go as you expected. Remember that everyone is entitled to express their own perspectives. Furthermore, even when you don't entirely agree, try to benefit in some way from it.

- Manlobbi

Investment Strategies / Mechanical Investing

Unthreaded | Threaded | Whole Thread (3)

Prev | Next

Post New | Post Reply | Report Post | Recommend It!

No. of Recommendations: 8

In case the link breaks (which is not unusual over time):

As with many published anomalies, the classical Turn-of-the-Month (TOM) effect, originally defined as the period from the last trading day of the month to three days after, appears to have largely disappeared in the past decade....

However, expanding the TOM window to include a broader seven-day period, spanning three days before to three days after the last trading day, reveals that the effect persists in a more nuanced form. This broader window, as argued by recent research, better captures the institutional liquidity-driven price impact that contributes to the TOM effect, including pre-month-end selling pressure and subsequent reversal and buying pressure. The effect remains particularly pronounced in international and emerging markets, which are typically less efficient and more susceptible to institutional flows....

Moreover, the lower drawdowns and improved skewness associated with TOM strategies could offer diversification benefits when incorporated into broader portfolios.

DB2

Post New | Post Reply | Report Post | Recommend It!

Print the post

Unthreaded | Threaded | Whole Thread (3)

Prev | Next

Announcements

Mechanical Investing FAQ

Contact Shrewd'm
Contact the developer of these message boards.

A community forum supporting civilized, and highly helpful, self-educating investors that come together for Shrewdness and merry spirits. These message boards closely follow the look and feel of the old message boards at boards.fool.com prior to the boards redirected to discussion.fool.com. Shrewd'm is not affiliated with the comprehensive and excellent investment website, The Motley Fool (TMF), in any way. The Shrewd commmunity here has owed, and continues to owe, gratitude to The Motley Fool for nurturing a culture of jovial irreverence towards Wall St, and that tradition will continue here.