It's the First of the Month

Since the bull market began back in October of 2003, the S&P 500 has gone up an average of 48 bps on the first day of each month (buying at the close on the last day of the prior month and selling at the close on the first day).  On these days, the Index has been up 27 out of 37 times (73%).  More striking is the compounded return of these days versus the return had one bought for the rest of the month (buying at the close on the first day of the month and selling at the close on the last day of the month).  Starting on the first day of the month in November of 2002, buying on the first day of the month has amounted to half of the S&P 500's overall gains.  See chart below:

Note: For the last two months, the S&P 500 has been down on the first day (-17 bps and -35 bps).