Shares that like/dislike September

Shares that like September

The following table lists the five FTSE 350 shares that have the best returns in September over the last ten years. For example, Diploma has an average return of 6.3% for the month of September. Each stock has risen in at least eight of the past ten years in September – Diploma is the only stock in the FTSE 350 whose shares have risen nine times in September in the past ten years.

Company TIDM Avg(%)
Ashtead Group 8.4
Aberdeen Asset Management 8.0
JPMorgan Indian Investment Trust 6.6
Diploma 6.3
Carnival 4.1

Shares that dislike September

The following table lists the five FTSE 350 shares that have the worst returns in September over the last ten years. For example, Premier Farnell has an average return of -8.0% for the month of September. All five stocks have fallen in at least eight of the past ten years in September; Premier Farnell is the only stock in the FTSE 350 whose shares have fallen nine times in September in the past ten years.

Company TIDM Avg(%)
Premier Farnell -8.0
Pace -8.0
Compass Group -4.8
SVG Capital -3.7
Carpetright -3.7

Strategy

An equally-weighted portfolio of the above strong September stocks would have out-performed an equally-weighted portfolio of the above weak September stocks by an average of 12.3 percentage points in September for the past ten years.

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Last trading day of September

Tomorrow (Friday 28 Sep) will be the last trading day (LTD) of September.

As explained in the 2013 edition of the Almanac the LTDs of months used to be stronger than average, but in recent years they have been weak. This is quite different from the first trading days of months which strongly out-perform the average for all days, and where the effect has strengthened in recent years.

Historically, the September LTD has been one of the weakest monthly LTDs in the year. Since 1984 only three months have an average negative return for their LTDs, one of which is September. The following chart shows the FTSE 100 Index returns for every September LTD since 1984.

Last trading day for Septembers (1984-2012)

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Triple witching – September 2012

It’s triple witching tomorrow (21 Sep 2012)!

To add some extra spice to the day there will also be a heavy re-weighting of the S&P indices.

And it’s the Autumn Equinox on 22 September.

According to Paul Macrea Montgomery of Montgomery Capital-

The legendary trader W.D. Gann reportedly claimed that capital and commodity markets tend to top on or around September 22nd more oft than on any other day of the year.

Back to the witches…

The lesson of previous triple witching days is to expect increased volatility and an abnormally strong return. The chart below is taken from the 2013 edition of the Almanac and shows the FTSE 100 Index returns for the three days around triple witching.

The two tables below show the 10 ten strongest/weakest shares in the FTSE 100 Index on the eleven September triple witching days since 2000. For example, Capita has increased on the September TW days 10 of the past 11 years with an average return on the day of 0.93.

10 strongest FTSE 100 September TW shares

Company TIDM Positive(Yrs) Average(%) StDev
Capita Group (The) CPI 10 0.93 1.73
Tesco TSCO 8 0.92 1.80
Rolls-Royce Group RR. 9 0.80 2.09
International Consolidated Airlines Group SA IAG 7 0.75 2.63
British Land Co BLND 9 0.58 1.74
WPP Group WPP 7 0.54 1.65
Hammerson HMSO 9 0.50 1.14
Croda International CRDA 6 0.48 1.17
Whitbread WTB 8 0.47 1.43
Tate & Lyle TATE 7 0.41 1.28

10 weakest FTSE 100 September TW shares

Company TIDM Positive(Yrs) Average(%) StDev
Schroders SDR 3 -1.54 2.89
GKN GKN 4 -1.36 3.21
Centrica CNA 5 -1.25 2.54
Tullow Oil TLW 3 -1.11 3.68
Sage Group (The) SGE 6 -0.79 3.85
Experian EXPN 3 -0.77 1.89
Morrison (Wm) Supermarkets MRW 5 -0.62 3.04
Reckitt Benckiser Group RB. 5 -0.52 1.87
Barclays BARC 3 -0.50 1.93
Imperial Tobacco Group IMT 5 -0.50 2.52

 

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