Why Do Month-End Flows Move Currencies? The WM/Reuters Fix Explained

Educational content. This article explains how month-end rebalancing flows and the WM/Reuters fix can affect currency prices, and how that looks on an MT5 chart. It does not constitute investment advice or a recommendation. CFD trading carries significant risk of loss and may not be suitable for all investors.

Month-end flows move currencies because investment funds rebalance their foreign-exchange hedges on the last trading days of the month, and many of them trade at the WM/Reuters 4 pm London fix. The orders cluster in a five-minute window, so price can move more than usual around 16:00 London time. The effect is a tendency, not a rule.

What Is the WM/Reuters Fix?

The WM/Reuters fix is a benchmark exchange rate, published every hour for many currencies, and the 4 pm London fix is the one the market uses most. It is calculated from trades and orders captured during a short window around the stated time. Funds use it because it is a single, independent, verifiable price for valuing portfolios and settling currency trades.

The fix is not a trading venue. It is a price calculated after the fact. A fund that wants to trade "at the fix" asks a bank to deal at whatever rate the benchmark publishes, and the bank then trades in the market during the window to cover that commitment. That is why the window attracts so many orders at once.

Two facts about the window are verifiable. In a February 2015 speech published by the Bank for International Settlements, Guy Debelle of the Reserve Bank of Australia said WM "will widen the fix window to five minutes commencing on 15 February" (BIS, February 2015). The change followed the Financial Stability Board's work on foreign exchange benchmarks, whose final report is dated 30 September 2014 (FSB, 30 September 2014). Refinitiv's November 2019 update to the ECB's FX contact group listed, among the trends that continued after the window was lengthened to five minutes, that volumes peak and spreads tighten during the window, with sterling and the Australian dollar shown in its charts (Refinitiv, November 2019).

The window runs from 2.5 minutes before to 2.5 minutes after the stated time (15:57:30 to 16:02:30 for the 4 pm fix), according to WM's presentation to the ECB's FX contact group in 2015. Methodology can be revised, so check the benchmark administrator's current documents before relying on any detail.

Why Do Funds Need to Trade Currency at Month-End?

Funds trade currency at month-end because they hedge their foreign holdings, and a month of price moves leaves the hedge the wrong size. Restoring it is a routine operation, not a market view. It happens on a calendar, which is why the flow is predictable in timing even if its size is not.

Take a fund based in Japan that holds US equities. It earns the US stock return, but its yen-denominated results also swing with USD/JPY. To remove the currency swing, the fund sells US dollars forward against yen for part or all of the portfolio value. That is the hedge.

Over the month the US stocks rise or fall, so the dollar value of the portfolio changes while the forward contract does not. The hedge no longer matches the exposure. Most mandates set a hedge ratio, and the fund resets the contract at the month-end valuation date. Many valuations use the 4 pm London fix, so many resets are dealt at the same moment.

The Direction Rule

The direction depends on the stock return, not on the currency. If US equities rose, the fund holds more dollars than it hedged, so it sells more dollars. If US equities fell, it holds fewer dollars than it hedged, so it buys dollars back.

Academic work supports this direction. Melvin and Prins, in the Journal of Financial Markets (2015), tested the "hedging channel" and found that equity gains over the month predicted depreciation of the currency before the month-end fix. This is a statistical tendency across many months, not a guarantee for any single month.

A Worked Example With the Arithmetic

The size of a rebalancing trade is the holding, times the return, times the hedge ratio. The numbers below are invented to show the arithmetic. They are not market data.

A fund holds USD 200,000,000 of US equities, hedged at 50%.

1. Starting hedge: 200,000,000 x 50% = USD 100,000,000 sold forward.
2. The equities gain 3% in the month: 200,000,000 x 1.03 = USD 206,000,000.
3. Required hedge: 206,000,000 x 50% = USD 103,000,000.
4. Adjustment: 103,000,000 - 100,000,000 = USD 3,000,000 of additional dollars to sell.

In lot terms, at a contract size of 100,000 units, USD 3,000,000 is 30 lots of notional. That is one fund and one currency pair. The actual market flow is the sum of thousands of such adjustments, in different directions, and the net is what matters. If one fund sells 3 million and another buys 3 million, the net effect on price is zero.

When Does the Fix Happen in Asian Time?

The fix is at 16:00 London time, and London clocks change, so the Asian clock time changes with them. UK summer time ends on 25 October 2026. The month ends on Saturday 31 October, so the last trading day is Friday 30 October, and that fix falls in winter time.

Singapore and Japan do not use daylight saving, so their clocks stay fixed while the fix moves by one hour in local time. The mechanics are covered in why daylight saving changes shift trading sessions. The fix also sits late in the London/New York overlap, when liquidity is usually deep.

Which Pairs Carry the Flow, and What Does a Pip Cost?

The flow can be expected where large foreign portfolios sit: the dollar against the euro, yen, sterling and the Canadian and Australian dollars. The pip value in these pairs differs, so the same move costs a different amount.

The table is built from the Vanto feed snapshot of 10 October 2026. Each pair has a contract size of 100,000 units. The USD value converts the profit-currency pip using the snapshot mid prices.

For the full list and the conversion method, see pip value for every forex pair at Vanto. The definition of the unit is in what is a pip.

A fix-time move that looks small in pips is not small in money if the position is large. A 5-pip move on 2 lots of EUR/USD is 5 x 10 x 2 = USD 100. The same 5 pips on 2 lots of USD/JPY is 5 x 1,000 x 2 = JPY 10,000, about USD 63. Size positions in money at risk, not in pips.

What Does the Flow Look Like on a Chart?

On a one-minute chart, month-end flow shows up as a burst of movement in the minutes before and after 16:00 London, and the move may or may not be followed by a retracement. It is easy to see in hindsight and hard to isolate in real time, because ordinary news and other flows hit the same minutes.

Three features are worth knowing:

• The ramp-up. Banks that took client fix orders trade during the window, so activity can build from about 15:57 and fade after 16:03.
• The reversal. Once the benchmark is set, the demand that moved the price is gone, so some of the move could retrace. This article does not claim a retracement is typical, and its size, if any, varies.
• The sign. The direction follows the month's equity returns, as the table above shows. A month with no clear equity trend gives no clear direction.

A trader watching this pattern should also account for costs. The spread tends to be tighter around the fix according to the Refinitiv data above, but it can widen sharply on a news shock in the same minutes. See why trading costs are more than the spread and what is slippage in trading.

When Does the Month-End Rule Break?

The month-end tendency breaks whenever another force outweighs the rebalancing flow. The common cases:

1. Offsetting flows. Funds from different countries hold different assets. A European fund with US equities and a US fund with European equities rebalance in opposite directions, and the net can be near zero.
2. Unhedged or partly hedged portfolios. Many funds do not hedge, or hedge only bonds. The flow exists only where a hedge exists, and hedge ratios are not public.
3. Other fix-time orders. Companies, central banks and index-linked investors also deal at the fix, for reasons unrelated to equity returns.
4. Scheduled data and central bank decisions. A major release on the last trading day can overwhelm a small rebalancing flow. See how NFP affects the US dollar for a release that often lands in the first days of a month.
5. Different valuation points. Some funds use other fixes, such as a Tokyo fix, or deal throughout the day.
6. Sample dependence. A pattern found in past data can fade once many participants know about it.

A second class of error is conceptual. The month-end flow is a short-lived effect on a single day. It says nothing about where a currency will be in a month, and it does not replace the longer drivers such as central bank rate differences or carry.

Common Mistakes When Reading Month-End Flows

• Treating a tendency as a signal. A statistical tendency across many months can fail in any one month.
• Ignoring the equity return. The direction comes from the equity market, so the same calendar day can push a currency up in one month and down in the next.
• Forgetting the clock change. The fix moves in Singapore and Tokyo time by an hour when London changes its clocks.
• Sizing by pips. Pip values differ by pair, as the table shows.
• Overlooking leverage. Leverage amplifies losses as well as gains. Vanto's maximum leverage on forex is 1:500, margin call is at 100% and stop-out at 50%, so a fast move around the fix can reduce free margin quickly. See what is margin in trading.
• Mixing up the fix and the swap day. Month-end flow has nothing to do with the Wednesday triple swap. For that, see what is a triple swap day.

Frequently Asked Questions

What time is the WM/Reuters 4 pm fix?

It is 16:00 London time, which is 15:00 UTC in UK summer time and 16:00 UTC in winter. The fix is calculated over a five-minute window around that time. In Singapore, that is 23:00 in summer and midnight in winter.

Is the month-end effect guaranteed?

No. It is a tendency documented in academic work, such as Melvin and Prins (2015), and it varies by month and pair. Offsetting flows, news and different hedge ratios can hide it entirely.

Which currency pairs are most affected by month-end flows?

By the logic of hedging, the flow is most likely where large foreign portfolios sit, such as the dollar against the euro, yen, sterling and the Canadian and Australian dollars. The size in any one pair is not published.

Why do prices sometimes reverse after the fix?

The benchmark is set once the window closes, so the orders that pushed the price are finished. Without that demand, part of the move could retrace, but it need not. Any retracement varies from month to month.

Does the fix matter if I do not trade around 16:00 London?

Yes, in a limited way. It can explain a sudden price move you did not expect, and it can change spread and slippage in that window. Knowing the clock time in your own time zone helps you avoid being surprised.

Do month-end flows happen on the last calendar day?

They happen on the last trading day of the month, so when the month ends on a weekend the relevant day is the preceding Friday. That is why the fix on Friday 30 October 2026 is the one that matters for October.

Calculate the Numbers Before a Fix-Time Trade

The Vanto trading calculator shows the pip value and margin for any pair and lot size, which converts a few pips of fix-time movement into an amount of money.

Risk warning. Trading securities, futures, options, and contracts for differences are complex financial instruments that require knowledge and understanding. Prices can fluctuate significantly and securities may become valueless. Investors may incur losses exceeding the potential for profits. Trading on margin can result in losses greater than the amount initially deposited. Past performance is not necessarily a guide to future performance. The information in this article is for educational purposes only and does not constitute investment advice, a recommendation, or an offer to buy or sell any financial instrument. Consider whether CFD trading is appropriate for your circumstances and seek independent advice if necessary.