The chain is changing its reporting "to focus our activities and conversations around the strategic longer term actions we're taking as part of our plan," said CEO Steve Easterbrook at the Sanford C. Bernstein conference.

The loss of the report means investors will lose a key gauge of incremental progress in McDonald's ongoing turnaround effort and also a read on the broader health of the U.S. consumer. ( Tweet This )

Closing the veil on month-to-month performance gives McDonald's an added level of privacy as it embarks on a turnaround effort that new CEO Steve Easterbrook has acknowledged will be "bumpy."

"I understand why they're doing it, but I don't think it aids in the investment process. I think it takes away a tool that was useful in the investment process," said Matt DiFrisco, senior restaurant analyst at Guggenheim Partners, in a phone interview.

DiFrisco thinks the reports have helped reduce volatility following the chain's earnings reports since Wall Street has been able to bake two months of figures in to their models by the time the chain reports.

Read More The Big Vlad? Is Moscow taking on McDonald's?



McDonald's is far from alone is discontinuing the monthly reports, which show rockier performance due to holiday shifts and weather than the quarterly reports, which average three months of trends.

Many big retailers, including Starbucks and Wal-Mart, have already stopped reporting trends by month. Coffee chain Starbucks axed the reports beginning in 2006 because it thought the reports encouraged a short-term focus and provoked volatility, while retail giant Wal-Mart ditched the reports in 2009.

"Disclosing our comparable sales as part of our quarterly reporting is consistent with nearly all retailers and will provide a greater understanding of McDonald's sales results in the context of the company's overall financial performance," Easterbrook said.

Once McDonald's stops disclosing monthly trends, investors will have to read the tea leaves elsewhere, such as third-party reports on restaurant sales or government data, for clues into the chain's performance, DiFrisco said.