Ivolution Research Journal · Inconclusive report

Quarter-end rebalance drift signature

In the last three trading days of a quarter, index drift is negatively related to the quarter's equity return (a mean-reverting rebalance signature): strong-up quarters see rebalance-driven selling pressure into quarter-end, and vice versa.

CAL-05 · v1·Inconclusive·Narrative — weak evidence·Calendar

Cite as: CAL-05: Quarter-end rebalance drift signature. Ivolution Research Journal.

Publication status

The completed study did not produce decisive evidence for or against the hypothesis. It is not citable as an edge.

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1 session · 3 sessions

CAL-05: Quarter-end rebalance drift signature — Ivolution Research Journal