The new edition of the Almanac,The UK Stock Market Almanac 2017, has just been published.
A previous blog post detailed all the new studies and strategies in the 2017 edition. The 2017 Almanac also updates some of the studies of seasonality trends and anomalies that have featured in previous editions. Including-
Seasonality and anomaly updates in the new edition
- 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 had its best year ever last year.
- 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 2007.
- 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 38.7 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.
- 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 2.0 percentage points per month. A variant – buying the worst sector of the previous quarter – has performed even better.
- 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.
- Day of the Week Strategy – a strategy exploiting the day of the week anomaly that out-performs the FTSE 100 Index. [wk.??, with day of the week analysis also on p?? in stats section]
- Monthly Share Momentum Strategy – a monthly re-balanced momentum portfolio of FTSE 100 stocks beats the market.
- 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 8.8 percentage points annually; in the year since the last edition of the Almanac the out-performance was 4.2 percentage points.
- Sell Rosh Hashanah, Buy Yom Kippur – the US equity market tends to be weak between these two Jewish holidays; is there a similar effect in the UK market?
- 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) [p??]
- Day of the week performance – Thursday is the new weakest day of the week (Monday used to be), and the strongest day is now Friday. [p?? (in stats section)]
- 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). [p?? (in stats section)]
- 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. [wks 10, ??]
- 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. [p?? – (in stats section)]
- FOMC announcements how do US and UK equities react in the days around the periodic announcements of the policy statement of the Federal Open Market Committee.
- Gold does the price of gold exhibit a monthly seasonality?
- 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.
- Trading around Christmas – how do share prices behave in the days around Christmas?
- The January Effect – analysis suggests that performance in January is inversely proportional to company size (i.e. small companies like January!)
- Very large one-day market falls analysis of the behaviour of the FTSE 100 Index for very large one-day falls.
- Lunar calendar and the stock market – do the phases of the moon affect the stock market?
- Super Bowl – does the Super Bowl Indicator really accurately predict the market for the year?
- 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. [p?? (in stats section)]
- 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. [p?? (in stats section)]
- Correlation of UK equity markets – if you want to diversify away from FTSE 100 Index, how effective will it be investing in the FTSE 250, FTSE Small Cap, FTSE Fledgling or FTSE AIM All Shares indices? [p?? (in stats section)]
- Seasonality of GBPUSD – what are the strong/weak months for GB sterling against the US dollar?
- 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.
- The market’s decennial cycle – can analysis of the market’s performance in the equivalent years of decades reveal any pattern of behaviour?
- Ultimate Death Cross – has the 50-month moving average crossed down through the 200-month moving average?
- 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.
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.