The FTSE 100/S&P 500 monthly switching strategy

An update on a strategy to exploit the monthly comparative returns of the FTSE 100 and S&P 500 indices. Although since 1984 the S&P 500 has greatly out-performed the FTSE 100, there are months in the year when the FTSE … Continue reading

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Monthly seasonality of FTSE 100 Index

Does the FTSE 100 Index display a monthly seasonality? [We last looked at this in 2014, so time to see if anything has changed.] Positive returns The following chart shows the proportion of months that have seen positive returns for the FTSE … Continue reading

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Market returns in odd and even weeks

This is a strange one.  The following chart shows the value of two portfolios: Odd Week Portfolio: this portfolio only invests in the FTSE 100 in odd-numbered weeks, and is in cash for the even-numbered weeks. Even Week Portfolio: this portfolio … Continue reading

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The FTSE 100/S&P 500 monthly switching strategy

Although since 1984 the S&P 500 has overall greatly out-performed the FTSE 100 (+1021% against +575%), there are months in the year when the FTSE 100 fairly consistently out-performs the S&P 500. The following chart shows the monthly out-performance of … Continue reading

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Sell in May (risk-adjusted returns)

The Sell in May effect (also known as the Halloween or Six Month effects) describes the tendency of the stock market to perform strongly in the period November to April in comparison to the period May-October. This effect has been … Continue reading

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Ramadan Effect – paper review

The Ramadan Effect holds that stock returns are higher and volatility lower in Muslim countries during the holy month of Ramadan. This article presents a brief review and listing of academic papers on the Ramadan Effect. One of the first … Continue reading

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Friday 13th Effect – paper review

The Friday 13th Effect holds that stock returns on Friday 13th are significantly lower than for other Fridays. For academics, the interest is mainly in whether this demonstrates investors are rational or superstitious. This article presents a brief review and … Continue reading

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Monthly performance of FTSE 100 Index

Does the FTSE 100 Index display a monthly seasonality? Average returns The following chart plots the average monthly performance of the FTSE 100 Index for each month over the period 1980-2014. For example, over the 34 years from 1980 the … Continue reading

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Daylight saving effect – paper review

The daylight saving effect argues that sleep disruption caused by daylight saving time changes results in a negative impact on stock returns on the trading day following the changes. Even if the effect does exist it’s unlikely to be economically significant, … Continue reading

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