The following chart shows the tax paid by FTSE 100 companies last year. For example, the top payer was Vodafone, which paid £4,008 million tax.
- In total FTSE 100 companies paid £29 billion in tax last year.
- The top six payers paid over half the total tax paid.
- The bottom 30 payers paid just 5% of the total tax paid.
- The average tax paid by the 100 companies was £300m, while the median tax paid was £108m.
A previous post listed some of the strategies included in the 2018 edition of the Almanac, listed below is some of the additional updated analysis included in next year’s edition.
- Holidays and the Market
- Intra-Day Volatility
- Very Large One-Day Market Falls
- An Average Month
- An Average Year
- The January Effect
- January Barometer
- FTSE 250/FTSE 100 Ratio
- Monthly Seasonality of FTSE 100
- Monthly Seasonality Worldwide
- Seasonality of GBPUSD
- FTSE 100 Index Quarterly Reviews
- Chinese Calendar and the Stock Market
- Correlation of UK Markets
- Company Profile of the FTSE 100 Index
- Diversification with ETFs
- Sector Quarterly Performance
- Sector Profiles of the FTSE 100 & FTSE 250 Indices
- Announcement Dates of Company Results
- The Dividend Payment Calendar
- Correlation Between UK and US Markets
- Correlation Between UK & World Markets
- The Long-Term Formula
- The Market’s Decennial Cycle
- Ultimate Death Cross
- Politics and financial markets
- Gold seasonality
- UK Bank Rate Changes
- UK Interest Rate Cycle
- Trading Around Christmas and New Year
Order your copy of the 2018 edition of the Almanac now!
The newly published Almanac 2018 includes analysis of the following strategies:
- 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 out-performed the Index in 13 of the last 15 years.
- Construction Sector 4M Strategy - exploits a seasonality anomaly of the construction sector that greatly out-performs the FTSE 100 Index.
- 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 8.2 percentage points annually.
- Sell In May Sector Strategy - how to exploit the Sell in May effect with sectors.
- Summer Share Portfolio - a portfolio of seven stocks that has out-performed the market in nine of the last ten years.
- 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?
- Santa Rally - does a Santa Rally exist for shares and, if so, when does it start?
- Day of the Week Strategy – a strategy exploiting the day of the week anomaly that out-performs the FTSE 100 Index.
- Tuesday Reverse Monday - do market returns on Tuesdays reverse those on Monday?
- Turn of the Month Strategy - all the market’s gains occur in the six days around the turn of the month.
- 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.
- Monthly Share Momentum Strategy – a monthly re-balanced momentum portfolio of FTSE 100 stocks beats the market.
- Quarterly Sector Strategy – The strongest/weakest sectors for each quarter are identified; and the Quarterly Sector Strategy continues to beat the market. Is this strategy even easier than the World’s Simplest Trading System mentioned below?
- 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.
- 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.
- World’s Simplest Trading System - a simple trading system based on moving averages with an impressive performance.
Order your copy now!
The chart below plots the price of Bitcoin from July 2010 to November 2017. The price on the Y-axis is plotted on a logrithmic scale (as the price has grown exponentially).
The new edition of the Almanac, Harriman’s Stock Market Almanac 2018, is at the printers now and will be available from 27 November 2017. Order your copy now!
The following table gives the contract specifications for the proposed cash-settled CME Bitcoin futures.
||5 bitcoin, as defined by the CME CF Bitcoin Reference Rate (BRR)
|Minimum Price Fluctuation
||Outright: $5.00 per bitcoin = $25.00 per contract
Calendar Spread and Basis Trade at Index Close (BTIC): $1.00 per bitcoin = $5.00 per contract
||CME Globex and CME ClearPort: 5:00 p.m. – 4:00 p.m. CT Sunday – Friday
BTIC: 5:00 p.m. – 10:00 a.m. or 11:00 a.m. CT (4:00 p.m. London Time) Sunday – Friday
||Nearest 2 months in the March Quarterly cycle (Mar, Jun, Sep, Dec) plus the nearest 2 “serial” months not in the March Quarterly cycle.
Contract months for initial listing: Dec 2017, Jan 2018, Feb 2018, Mar 2018.
|Termination of Trading
||Last Day of Trading is the last Friday of contract month.
Trading in expiring futures terminates at 4:00 p.m. London time on Last Day of Trading.
||Spot Position Limits are set at 1,000 contracts. A position accountability level of 5,000 contracts will be applied to positions in single months outside the spot month and in all months combined. The reportable level will be 25 contracts.
||Price limits for a given Business Day are made by reference to the most recent Bitcoin Futures settlement price, settled at 4:00 p.m. London time each Business Day.
Special price fluctuation limits equal to 7% above and below prior settlement price and 13% above and below prior settlement price and a price limit of 20% above or below the previous settlement price. Trading will not be permitted outside the 20% above and below prior settlement price.
||Cash settled by reference to Final Settlement Price, equal to the CME CF Bitcoin Reference Rate (BRR) on Last Day of Trading.
Further info on Bitcoin futures at the CME web site.
A solar eclipse occurs when the moon passes between the earth and the sun. A total eclipse occurs when the moon fully blocks the sun; these are quite rare as they only exist along a narrow path on the surface of the Earth. Other types of eclipses are annular and partial when only part of the sun is obscured.
On 21 August 2017 the US will experience a total eclipse. This is a big event as the last total eclipse observable in the continental US was in 1979 (when, in fact, the weather was not the best). And the last solar eclipse whose path of totality moved from coast to coast (as it will in 2017) was back in 1918. Of course, this being the United States, the Americans will no doubt play the whole thing down and it may pass many by without being noticed at all.
It can be a scary thing when the sun suddenly disappears in the middle of the day and in olden times people would become fearful at the time of eclipses. Various stories were told to explain the terrible event. Many of these myths involved the sun being eaten by a large animal, for example in Vietnam people believed that a giant frog was devouring the sun (has this actually ever been truly disproved?) Customs developed to chase away whatever was eating the sun by banging pots and pans so far this has proved a remarkably successful strategy and has worked every time.
Scientists (slayers of myths, and general killjoys) claim that there is no evidence that solar eclipses affect human behaviour, health or the environment.
But is this true?
The above table lists all the total solar eclipses seen in the US since 1900, with in each case a sparkline showing the Dow Jones Industrial Average for the four days around the eclipse (the eclipse is on the 3rd day).
And the following two charts plot the returns of the Dow Jones Industrial Average on the days around the 15 total solar eclipses that have been visible from the United States since 1900. S(-1) is the day before the eclipse, S(0) the day of the eclipse, and S(+1) the day after. The following chart plots the average return for the three days…
…and the chart below plots the proportion of days that had positive returns.
It can be observed in both the sparklines and the bar charts that on the day before the eclipse, and on the day itself, the market tends to be weak (investors fearful of the big frog). But on the day after the eclipse the market bounces back the frog has gone and the sun is back.
The following chart plots the number of times the FTSE All-Share Index has had positive returns in the 7 days around UK parliamentary elections since 1970.
For example, in the 12 elections there have been since 1970 the Index has risen 7 times on the third day, E(-3), before election day E(0).
The following chart is similar to the above but plots the average day returns for the Index on each of the 7 days around elections.
For example, in the 12 elections since 1970 the Index has had an average return of 0.1% on the day before, E(-1), the election.
Interestingly, the market has tended to see positive returns in the days immediately around elections, with the strongest day being election day itself with an average return of 0.6% (perhaps a .relief rally marking the end of the tedious election campaigns?)
The day following elections has a negative average return of 0.04% (as investors realise the ramifications of the election result?)
Further articles on the market and elections.
This coming Saturday will be the start of the Chinese New Year.
The following chart plots the average performance of the S&P 500 Index for each animal year since 1950. For example, Ox years started in 1961, 1973, 1985, 1997, 2009; and the average performance of the market in those (Chinese) years was +14.0%.
NB. The Chinese calendar is based on the lunar year cycle and so performance has been calculated for each lunar year – not the corresponding calendar year.
The Chinese New Year starting this Saturday will be the Year of the Rooster!
This is not necessarily good news for investors. Since 1950 rooster years have had the worst average returns of the S&P 500 Index of any of the Chinese zodiac animals. Over the last 50 or so years the average lunar year return for rooster years has been -4.1%.
The year just ending was the year of the monkey. On average monkey years have seen an S&P 500 return of 9.8%. In the monkey year just passed the actual S&P 500 return was 22.5%.
The table below shows the monthly frequency of company flotations (IPOs) and listing on the London Stock Exchange. The dark bars show the month frequency for all flotations of companies currently listed on the LSE, and the lighter bars are limited to just the 162 companies floated from the beginning of 2010 to 2015.
As can be seen, the most popular month for flotations has been January, 14% of all flotation took place in this month. The second most popular month has been July (11%). By contrast the least popular month is August, followed by February and September.
This profile has changed somewhat in recent years. Since 2010, the two busiest months for flotations have been June and July (13%), followed by March. And, oddly, January is now the least popular month for flotations (3%).
The following chart plots the performance of an equally-weighted portfolio comprising the 162 companies that floated 2014-2015. For reference, the FTSE 100 Index is also shown.
It is not a pretty sight. Since the start of 2014, the FTE 100 Index has fallen 8%, but the Flotation Portfolio has declined 31% in value.
Extract taken from The UK Stock Market Almanac 2016.
Order the newly published 2017 edition of the Almanac.