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Quarter-End

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The action over the last few days is actually negative for today (since it's quarter-end). Here's a few analogs to consider:

  • What happens when the SP futures record two consecutive up days prior to the last day of any quarter? There were 24 occurrences and the SP closed lower 74% of the time by an average of -.26%.
  • What happens when the ND futures close above the prior day's high and it's the last day of any quarter? The ND closed lower 7 of 11 occurrences by an average -.47%.
  • What happens when the ND futures post a gain of at least 1.5% on the day before quarter-end? There were just two occurrences and both ended lower. The most recent occurrence was September 2003. In fact, it's worth noting the potential similarity to Q3 '03. The index made high on 9/18/03 and declined 4.5% into month end and then rallied to start the fourth quarter.
  • In general, the historical behavior surrounding quarter-end has been mixed. However, a review of just the past ten years would seem to support the above noted analogs. During that time, the SP futures ended the final day of Q3 in the red 7 of 10 times and then reversed to record a gain on the first day of October in 6 of the last 10. Remember that past performance does not indicate future results.

No positions in stocks mentioned.

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