1st Day of Month Tendency Broken Down By Month

Since the late 80s there has been a strong tendency for the market to rally on the first day of the month.  One theory on why this occurs is that there are often 401k inflows that are put to work on the 1st of the month.  A few years ago I examined this tendency and broke it down by month.  I thought it would be interesting to take another look at it today.  Below is an updated version of the study shown here on July 1, 2009.

July has been the most reliable month in term of closing positive, but when looking at the size of the average gain, it comes in 4th.  You also note that August is the worst on both counts.