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A tumbleweed blows across Colorado Highway 141 near Naturita.

Stock market returns during various days of the week continue to fascinate observers, largely because the difference in returns during the bull market has been so great.

The latest snapshot comes from Bespoke Investment Group, which grouped returns for the S&P 500 based on days of the week. Since the stock market began to recover in March 2009, Thursdays delivered the best performance with a cumulative gain of 32.9 per cent and an average daily gain of 0.17 per cent. Tuesdays have also been good, with a cumulative return of 22.4 per cent and an average daily gain of 0.12 per cent.

But one day of the week stands out from the rest: Friday. It is the only day that has a negative cumulative return (0.6 per cent) and an average daily move of zero. Put another way, the S&P 500 has risen 116 per cent over the past three-and-a-half years. But if you had only had money invested on Fridays, you would have missed out on the bull market entirely.

"The phrase Thank Goodness It's Friday may be true in most cases, but not during this bull market," Bespoke said on its blog.

I haven't actually seen any investment strategy that attempts to take advantage of this quirk – probably because it is seen as just that, a quirk. Nonetheless, it does beg for some kind of explanation.

Friday is the day that the U.S. Labor Department releases its monthly payrolls report, and it is alarming how many times that report has dashed expectations. Sure, the economy has been producing jobs during the recovery, but in most months the job gains have fallen far short of economists' expectations. And on these days, stocks have been known to slide. As well, short-term investors might still be concerned about weekend developments, particularly in Europe, making Fridays an ideal time to reduce exposure to the stock market.

Meanwhile, the Federal Reserve has announced its monetary policy decisions mid-week – usually on Wednesdays – and the accompanying statements in recent years have either dropped hints of upcoming economic stimulus or have delivered the stimulus itself. Stocks have tended to rally on these days.

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