Detailed performance and facts
'Turnaround Tuesday' is a well-known market effect. "Make sure you own shares on Tuesday" is a traditional saying on the stock exchange. The existence of the Tuesday effect is supported by strong statistical data.
The research agency Evercore calculated that not having the S&P 500 in portfolio on Tuesdays, results in a decrease of the average return from 9,1% to 6,5% when going back to 1980.
Likewise Mike Bird in The Wall Street Journal writes "... since the beginning of 1980 the S&P 500’s average Tuesday gain has been 0.07% – the best of any day of the week. Remove Tuesday performances from the index over those decades, and its gain shrinks from nearly 2500% to a paltry 560%."
Due to this strong statistical evidence, many active investors have a strategy to benefit from the Turnaround Tuesday effect. An example is the experienced investor André Stagge. The strategy uses the German market index DAX. Only when the DAX shows signs of weakness based on technical analysis, a position is bought on Monday evening and sold on Wednesday morning.
This chart shows the gross profit generated for clients by the Turnaround Tuesday effect. In 2019 the profit amounted to € 3275 for the standard position of one future or the equivalent in CFDs.
For a number of reasons Tuesday is the optimal day for a positive change in market sentiment. Bad news published during the weekend is processed in the market price on Monday and is digested by Tuesday. In weak markets, large investors take profit on Friday to reduce the size of their positions held over the weekend. On Tuesday, they start building up positions again. Investment funds also close positions on Friday. They increase their cash position for Monday in order to service investors who gave instructions to exit during the weekend. Finally, private investors often liquidate positions on Monday when bad news is published during the weekend. Investment funds try to buy the shares at a lower price on Tuesday.
If there is currently an open position, it is visible in the live positions table.
|Mike Bird, August 6, 2019 – The Wall Street Journal|
|Calendar Anomalies in Stock Index Futures, Oscar Carchano & Ángel Pardo Tornero – University of Valencia|
|An anatomy of Calendar Effects, Laurens Swinkels & Pim van Vliet – Journal of Asset Management|
|Do Seasonal Anomalies Still Work?, Constantine Dzhabarov & William Ziemba – The Journal of Portfolio Management|
|Are seasonal anomalies real? A ninety-year perspective, Josef Lakonishok & Seymour Smidt – The Review of Financial Studies|