The new Almanac for 2016 has just been released

Almanac 2016 cover

The new edition of the Almanac,The UK Stock Market Almanac 2016, has just been published.

A previous blog post detailed all the new studies and strategies in the new 2016 edition. The 2016 Almanac also updates some of the studies of seasonality trends and anomalies that have featured in previous editions. Including-

 

  • Sell in May – this extraordinary effect remains as strong as ever: since 1982 the market in the winter months has out-performed the market in the summer months by an average 8.6 percentage points annually; in the year since the last edition of the Almanac the out-performance was 4.2 percentage points.
  • Day Of The Week Strategy – a strategy exploiting the day of the week anomaly that significantly out-performs the FTSE 100 Index.
  • FTSE 100/250 Monthly Switching Strategy – on the back of research into the comparative monthly performance of the two indices, a strategy of switching between the two markets is found that greatly out-performs either index individually.
  • FTSE 100/S&P 500 Switching Strategy – the strong/weak months for the FTSE 100 Index relative to the S&P 500 Index are identified; and a strategy of switching between the two markets is found that produces twice the returns than either market individually.
  • Low/high Share Price Strategy – a portfolio of the 20 lowest priced shares in the market has out-performed a portfolio of the 20 highest priced shares by an average 39 percentage points each year since 2002.
  • Quarterly Sector Strategy – The strongest/weakest sectors for each quarter are identified; and the Quarterly Sector Strategy continues to beat the market.
  • Monthly Share Momentum Strategy – a monthly re-balanced momentum portfolio of FTSE 100 stocks beats the market.
  • Tuesday Reverses Monday Strategy – since year 2000 market returns on Tuesdays have been the reverse of those on Monday. A strategy using this effect has significantly out-performed the FTSE 100 Index over this period.
  • Quarterly sector momentum strategy – a portfolio comprising the best FTSE 350 sector from the previous quarter, and re-balanced quarterly, out-performs the FTSE All Share Index by an average of 2.7 percentage points per month. A variant – buying the worst sector of the previous quarter – has performed even better.
  • Bounceback Portfolio – a strategy that buys the worst performing shares in a year, and then sells them after three months into the new year; the strategy has beaten the market every year since 2003 except one year.
  • FTSE 100 Index quarterly reviews – as before, it is found that share prices tend to rise immediately before a company joins the FTSE 100 index and are then flat or fall back. Before a company leaves the index share prices tend to fall and then rise after the exit.
  • FTSE 100 and FTSE 250 indices – the trend continues for the FTSE 100 Index to greatly under-perform the mid-cap index in January and February and out-perform it in September and October.
  • Holidays and the market – in recent years the market has been significantly strong on the days immediately before and after holidays and weak fours days before and three days after holidays.
  • Summer portfolio – a portfolio of five (summer) stocks has out-performed the FTSE 350 Index every year for ten years with an average annual out-performance of 8.5 percentage points.
  • Market seasonality (day/week/month) – December is still the strongest month in the year for the stock market, while September is the weakest. Analysis is also updated for weekly and daily performance of the market (Sinclair Numbers).
  • The January Effect – analysis suggests that performance in January is inversely proportional to company size (i.e. small companies like January!)
  • Day of the week performance – Wednesday is the new weakest day of the week (Monday used to be), and the strongest days are now Tuesday and Thursday.
  • Turn of the month – The market tends to be weak a few days either side of the turn of the month, but abnormally strong on the first trading of the new month (except December).
  • First/last trading day of the month – the first trading days of April and July are found to be unusually strong, while that of December is weak. The last trading day of October is found to be the year’s strongest, while the weakest are those for February and November.
  • Trading around Christmas – how do share prices behave in the days around Christmas?
  • Strong/weak shares by month – analysis of FTSE 350 shares reveals those that have performed consistently strongly or weakly for each month for the past ten years. Some shares have risen (or fallen) in a specific month for every year since 2005.
  • Market momentum grid – a reference grid is presented giving the historic tendency of the market to rise (fall) following a series of consecutive daily/weekly/monthly/yearly rises (falls). As before, it is found that trends become more established the longer they last, and the market displays greater momentum for longer frequencies.
  • UK and US markets – the correlation between the UK and US markets has been increasing since the 1950s, and in the years since 2010 has been stronger than ever.
  • Correlation between UK and international markets – analysis of the correlation of the UK with six overseas stock markets to answer the question: where to find diversification?
  • The Long-Term Formula – the formula that describes the long-term trend of the stock market and gives a forecast for the FTSE 100 in December 2040.
  • MPC meetings – how does the monthly MPC announcement on interest rates affect share prices?
  • Correlation of UK equity markets – if you want to diversify away from FTSE 100 Index, how effective will this be investing in the FTSE 250, FTSE Small Cap, FTSE Fledgling or FTSE AIM All Shares indices?
  • Daylight saving effect – what is the effect on financial markets of the switches to and from daylight saving time?
  • The Market’s Decennial Cycle – can analysis of the market’s performance in the equivalent years of decades reveal any pattern of behaviour?
  • The average market month – by taking the average performance of the market on each day of a month it is possible to create a chart of the average performance of the market for that month, and then to combine the 12 charts to produce a chart of the average behaviour of the market in all months.
  • The average market year – the performance and volatility of the market for an average year.

In addition to the above analysis is also updated for the standard Almanac features such as: comparative performance of UK equity indices, company ranking by financial and price behaviour criteria, price history profile of the FTSE All Share Index, sector profiles of the FTSE 100 and 250 indices, annual performance of sectors etc.

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