Research / Temporal and seasonal

Calendar and period-end position

Where the day sits in the week, month, quarter or year relates to returns.

The idea

Where a day sits in the week, month, quarter or year relates to returns.

Why it might exist

Rebalancing, payroll flows and reporting dates concentrate flows into predictable windows.

Who is on the other side

Investors whose flows are fixed by the calendar.

What would retire it

It is among the most published of effects, so it is retired if it does not survive being counted among every other look.