Russell 2000 Rebalancing And The 4th Of July Holiday Effect
The month of June is historically not among the best months of the year for the stock market (see here for a statistic for all months). However, we are now approaching one of the strongest periods of the year: the end of June.
We made a couple of backtests that look at two effects:
The first one is the annual rebalancing of the Russell 2000 index:
Russell 2000 Rebalancing Trading Strategy (Backtest)
The Russell has statistically one of its best times of the year at the end of June:
However, this period is also a strong period for the overall stock market (S&P 500) and it stretches into the first days of July:
The 4th of July Holiday Effect In Trading (Independence Day Effect – Backtest)
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