Calendar anomalies
Patterns in returns tied to dates: how a market behaves at month boundaries, ahead of long weekends, in particular months of the year.
How to read the number
Some have an explainable cause — when money reaches funds, tax dates, the seasonality of the underlying business — and they last exactly as long as that cause does.
When the metric lies
Given enough tests the calendar will show anything: on a long history some weekday will always have a different average. And an anomaly everyone has noticed disappears once people start betting on it.
Also known as: seasonal effects in returns