I noted that 8 out of 10 recent ift's moved into stocks so I wanted to find out some end of the month stats. Here is my find on the net;
Norm Fosback used to publish a seasonal trading strategy in his newsletter, Market Logic, with good results. That strategy was invested in S&P 500 futures only during the two days before a market holiday, the last two trading days of each month, and the first four trading days of the next month (the “pre-holiday” and “month-end” seasonals). Nelson notes that the annualized return isolated only to those days works out to about 34% since 1928. Including the days when the strategy was out of the market, presumably earning the T-bill yield, the annualized gain from 1952 through 2001 would have been 13.6% before transaction costs, compared with 12.8% for a buy-and-hold. That's not a bad comparison given that it assumes being invested only one-third of the time.
So I'll leave 4% in the market for a few days. Thanks for your ift info folks.