The market tends to cram most of its gains into the period surrounding the turn of the month, according to a study by Eddy Elfenbein, editor of the Crossing Wall Street blog.
Since 1932, the S&P 500 has risen about 6.5 percent per year. But if one isolates the last four and the first three trading days of every month, the market has risen 8.6 percent per year. And in fact, since this only covers about a third of all the market days, that would be an annualized rate of 28 percent, if the entire comparable period were filled by these end-of-month days. (Note: The S&P 500 was only created in 1957, but reconstructed prior historical information is available.)
That means that during the two-thirds of the month excluding the seven-day turn-of-the-month period, the market is actually lower overall.