Home / Ideas / Turn-of-the-Month Liquidity Window (broad [-3:3]) on International/EM Equity ETFs
Turn-of-the-Month Liquidity Window (broad [-3:3]) on International/EM Equity ETFs
capture institutional month-end flows where the anomaly still lives
The classic 4-day US turn-of-month effect has been arbitraged to zero over the last decade, but the broader 7-day window ([-3:3]) driven by predictable month-end institutional cash flows (redemptions then reinvestment) remains statistically significant, and is strongest in less-efficient international/emerging markets (Brazil ~23 bp/day difference, plus Sweden, Hong Kong).
Universe
Liquid international/EM single-country equity ETFs — EWZ (Brazil), EWD (Sweden), EWH (Hong Kong), EWA (Australia), plus SPY as a benchmark leg; all free daily yfinance OHLCV.
How it works
Enter at close on trading day -4, hold long the equal-weight ETF basket through the last trading day plus 3 days ([-3:3] window), exit to cash otherwise; rebalance monthly, fixed equal weights, 5 bp one-way cost.
Expected performance
Research-derived Sharpe estimate: 0.3-0.7. realism-discounted; US leg near zero, international leg carries the edge; strong drawdown/skew improvement vs buy-and-hold).
Backtest this idea with SignalChain
This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:
/signalchain Long international/EM equity ETFs (EWZ, EWD, EWH, EWA) only during the [-3:3] turn-of-month window, cash otherwise, monthly.
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Research & sources
- quantseeker.com — quantseeker.com
- papers.ssrn.com — papers.ssrn.com
- quantpedia.com — quantpedia.com
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