Month-End Rally · Action Bucket

The sharp month-end rally — does it hold the next week?

Trigger: the index rallies over its final 2 trading days of the month (QQQ ≥ +3%, SPY ≥ +2%) while above its 200-day MA  ·  forward returns over the next 5 sessions  ·  post-Covid window 2021→2026-07-31
You are here. Into the 2026-07-31 month-end, QQQ +4.0% and SPY +2.4% over the final two sessions (200d +6.9% / +7.1%) — both trigger. The next 5 sessions are the test.
The finding. These sharp month-end rallies fade. QQQ went 2-for-2 lower over the next week (median -1.6% by +5, 50% positive). SPY: median -0.6% by +5, only 20% positive — vs a +0.4% / 60% baseline for any month-end above the 200d. The month-end markup gives back.

The fade curve

Median cumulative return over sessions +1…+5 after the qualifying month-end close. Both indices drift down into the first week of the new month.
-3.4%-2.4%-1.4%-0.4%+0.6%+1+2+3+4+5sessions after the month-end close · median cumulative return
QQQSPY

Every event

QQQ · final-2-day rally ≥ +3% · above 200d MA 3 events · 2 completed
Month-end2d rallyvs 200d+1+2+3+4+5
2023-04-28+3.4%+10.1%-0.1%-1.0%-1.6%-2.0%+0.1%
2026-06-30+4.2%+16.5%-1.5%-3.2%-1.8%-3.7%-3.4%
2026-07-31 ◀ now+4.0%+6.9%—————
Median (done)——-0.8%-2.1%-1.7%-2.8%-1.6%
% positive——0%0%0%0%50%
Baseline +5 (any ME >200d)——+0.7% · 65%
SPY · final-2-day rally ≥ +2% · above 200d MA 6 events · 5 completed
Month-end2d rallyvs 200d+1+2+3+4+5
2022-01-31+4.3%+2.2%+0.7%+1.7%-0.7%-0.3%-0.6%
2022-11-30+3.0%+1.4%-0.1%-0.2%-2.0%-3.4%-3.6%
2023-03-31+2.0%+5.1%+0.4%-0.2%-0.4%-0.0%+0.1%
2023-04-28+2.9%+5.9%-0.1%-1.2%-1.9%-2.6%-0.8%
2026-06-30+2.4%+8.6%-0.1%-0.3%+0.6%+0.1%-0.2%
2026-07-31 ◀ now+2.4%+7.1%—————
Median (done)——-0.1%-0.2%-0.7%-0.3%-0.6%
% positive——40%20%20%20%20%
Baseline +5 (any ME >200d)——+0.4% · 60%
Read it honestly. Small samples — QQQ n=2, SPY n=5 completed since 2021 — so this is a context bucket, not a base rate: directional, low-conviction. The signal is a month-end markup unwind (window-dressing / rebalancing flows into the close that reverse early in the new month), and it only applies above the 200d (an extended tape). Every event's forward window overlaps the same macro backdrop. Use it to temper chasing the rally and to time hedges — cross-check against the TEF mandate; not a standalone signal.
Computed live from adjusted-close history (yfinance). Final-2-day rally = close(last session) / close(3rd-to-last) − 1. Educational research, not investment advice.