Month-end flows and why the last days behave oddly

[Amanhasnoname]

Fund managers who hold foreign assets rebalance their currency exposure near month end. When equities have rallied in one region, they need to sell some of that currency to restore balance, and the opposite when markets have fallen.

The size of these flows can move price, especially in the final days and around the 4pm London fix. The direction is not always obvious, but it tends to show up as odd drift that does not match news.

For a scalper, the practical effect is that standard patterns work a bit worse. Mean reversion setups fail more often because price keeps leaning in one direction. Breakouts follow through, or fail, for reasons unrelated to the chart.

Tracking month-end days in the journal as a separate category can show whether performance changes. Some find the last two days are consistently worse, and cut size accordingly.

It is a subtle effect, easy to miss without tagging.

Has anyone noticed performance changing in the last days of a month, and did tagging them reveal anything?