Tuesday, October 02, 2007

More on End of Quarter & End of Month Performance

While trolling the blogsphere I happened across a recent post from CXO dealing with end of quarter and end of month S&P performance. CXO obviously has a lot more time and resources than I do to pursue these statistical explorations and my weekend studies were merely data snapshots, however the turn of month statistics are impressive and deserve a look. I'm currently running some similar studies on the Qs and will share the results when available.


AlfaMike said...

I find the recent disparity in performance between the QQQQ and the SPY interesting. I wonder if it can be explained away in terms of the conventional wisdom favoring tech stocks, or if the names in the Q's are just generally higher beta superstar types that fair better in a bull run.

bzbtrader said...

If you go to stockcharts.com and set up ratio charts of qqqq:$compq, qqqq:SPY, qqqq:DIA and qqqq:IWM you will see the Qs have shown superior performance for several months. My current studies suggest that trend is likely to continue.