UK stock market average returns by calendar day of the month

The following chart plots the average daily returns for the 31 calendar days in a month for the FTSE 100 index over the period 1984-2015. For example, since 1984, the FTSE 100 index has on average increased 0.27% on the 1st day of each month.

FTSE 100 average returns by calendar day [1984-2015]

Observations

  1. The first day of each month has the highest average daily return for the FTSE 100 index. Followed closely by the second day of the month.
  2. The worst average daily return has been on the 20th of the month
  3. As can be seen in the chart, the periods of strongest daily returns occur in the first and final weeks of months.
  4. The pattern of daily returns in months divides into five (rather surprisingly precise) phases:
  • Phase 1 (1st-6th): the index sees positive daily returns
  • Phase 2 (7th-12th): the index sees negative daily returns
  • Phase 3 (13th-18th): the index sees positive daily returns
  • Phase 4 (19th-23rd): the index sees negative daily returns
  • Phase 5 (24th-31st): the index sees positive daily returns

The chart below replicates that above, but highlights the positive daily return phases of a month.

FTSE 100 average returns by calendar day [1984-2015] b

 

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