Event: 4th Quarter End
The calendar year is divided into four fiscal quarters, which end in March, June, September, and December. At the end of each quarter, it is not unusual to see hedge funds, pension funds, and insurance companies rebalance their portfolios. This may involve liquidating high-performing assets with low-performing assets, thereby protecting portfolios from extreme moves. Basically, it allows portfolio managers to normalize positions at a regular interval in an effort to minimize volatility. Of course, not all portfolio managers adhere to the end of the fiscal quarters. In reality, they should perform the rebalancing of positions when necessary and not at set quarter-end dates. Let’s crunch some numbers and see what really happens heading into the end of the fourth quarter based on 30+ years of data.
The questions is … do the markets end the fiscal fourth quarter on a positive or negative note?
Market Comparision
How do the markets perform leading up to and including the end of the 4th quarter on December 31st? The analysis table below breaks down each of the 30+ markets into four separate trading periods. These time frames span 6-days, 4-day, 2-days, and the event day itself. The return performance for each time frame is measured against its normal performance during the year to calculate a final over or underperformance return. This metric quantifies, in percentage points, the advantages or disadvantages associated with the end of the 4th quarter. Markets highlighted with a checkmark or an “x” should be closely monitored for potential strength or weakness heading into the event.
Calendar Breakdown by Events
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