EXPLANATORY NOTES FOR MONTH-END SEASONALITY TABLE

This study encompasses data from January 3, 1950 - September 27, 2002, and is designed to see if there is any evidence to back up the common wisdom that the days surrounding month-end are more positive than other days.

The columns are labeled to reflect the trading days of the month, so for example the data in the "LAST" column is data for the last trading day of the month, while "THIRD TO LAST" is data for the day three days before the end of the month and "SECOND" is the second trading day of the month.  The numbers in red are those days which show less than average performance, while those in blue show greater than average performance.  It should be quite clear that the days entirely in blue are the most positive days of this two-week period.  These are the last day of the month and the first three days of the next month.  During this four-day period, the S&P 500 gives a better-than-random return, is positive more often than random days (whether the 50-day moving average is sloping up or down), exceeds the previous day's high more often than random and also exceeds the previous day's low less often than random - all bullish characteristics.