From CXO Advisory Group:
...The chart shows that the S&P 500 index return during the ten trading days centered on the TOTM is on average about twice the return of the typical ten trading day interval. It does not matter much whether one sets the TOTM intervals relative to the last trading day or the first trading day of the month.
The TOTM effect exists with about the same level of outperformance during both rising and falling markets. However, during falling markets, the TOTM effect is on average a losing proposition (with trading frictions).
In summary, a simple test indicates that the turn-of-the-month effect holds in both rising and falling markets, but is not useful for simple timing during falling markets.