Shares that like/dislike March

Shares that like March

The following table lists the five FTSE 350 shares that have the best returns in March over the last ten years. For example, The Restaurant Group has an average return of 12.4% for the month of March. All stocks have risen in March for at least nine of the past ten years.

Company TIDM Avg(%)
Restaurant Group (The) 12.4
Intertek Group 8.9
Cobham 5.3
Berendsen 5.3
Victrex 2.8

 Shares that dislike March

The following table lists the five FTSE 350 shares that have the worst returns in March over the last ten years. For example, Renishaw has an average return of -4.4% for the month of March. All five stocks have fallen in at least eight of the past ten years in March.

Company TIDM Avg(%)
Renishaw -4.4
Royal Bank of Scotland Group (The) -3.5
PZ Cussons -2.9
HSBC Holdings -2.7
Smiths Group -2.5

An equally-weighted portfolio of the above strong March stocks would have out-performed every year an equally-weighted portfolio of the above weak March stocks by an average of 10.1 percentage points in March for the past ten years.

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Stocks with the worst recent annual performance

The following table shows the 13 FTSE All-Share stocks that have had the highest number of consecutive negative annual returns to end 2014. The last column gives the number of years of consecutive negative returns.

For example, First Group has not had an up year since 2007, and so has had seven consecutive years of negative returns up to 2014.

Company TIDM Index Consec -ve Yrs
FirstGroup FGP FTSE Mid 250 7
Tesco TSCO FTSE 100 5
Aquarius Platinum Ltd AQP FTSE Small Cap 5
Hardy Oil & Gas HDY FTSE Small Cap 5
BlackRock Latin American Investment Trust BRLA FTSE Small Cap 4
Anglo American AAL FTSE 100 4
BlackRock World Mining Trust BRWM FTSE Mid 250 4
Anglo Pacific Group APF FTSE Small Cap 4
Premier Oil PMO FTSE Mid 250 4
City Natural Resources High Yield Trust CYN FTSE Small Cap 4
BlackRock Commodities Income Investment Trust BRCI FTSE Small Cap 4
Ferrexpo FXPO FTSE Small Cap 4
Hansard Global HSD FTSE Small Cap 4

 

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Stocks with the best recent annual performance

The following table shows the seven FTSE All-Share stocks that have had the highest number of consecutive positive annual returns to end 2014. The last column gives the number of years of consecutive positive returns.

For example, Dechra Pharmaceuticals has not had a down year since 2003, and so has had 12 consecutive years of positive returns up to 2014.

Company TIDM Index Consec +ve Yrs
Dechra Pharmaceuticals DPH FTSE Mid 250 12
Compass Group CPG FTSE 100 9
Worldwide Healthcare Trust WWH FTSE Mid 250 8
Booker Group BOK FTSE Mid 250 8
Barr (A G) BAG FTSE Mid 250 7
Biotech Growth Trust (The) BIOG FTSE Small Cap 7
BTG BTG FTSE Mid 250 7

After these seven stocks, there have been 34 FTSE All-Share stocks that have had positive annual returns for the past six years.

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Shares that like/dislike January

Shares that like January

The following table lists the five FTSE 350 shares that have the best returns in January over the last ten years. For example, Computacenter has an average return of 9.3% for the month of January. All stocks have risen in January for nine of the past ten years.

Company TIDM Avg(%)
Computacenter 9.3
CSR 8.1
Electra Private Equity 6.8
St James’s Place 5.6
Euromoney Institutional Investor 4.4

Shares that dislike January

The following table lists the five FTSE 350 shares that have the worst returns in January over the last ten years. For example, Unilever has an average return of -3.2% for the month of January. All five stocks have fallen in eight of the past ten years in January.

Company TIDM Avg(%)
Berkeley Group Holdings (The) -4.7
Tesco -4.3
GlaxoSmithKline -3.3
Unilever -3.2
Dairy Crest Group -3.2

An equally-weighted portfolio of the above strong January stocks would have out-performed every year an equally-weighted portfolio of the above weak January stocks by an average of 10.5 percentage points in January for the past ten years.

 

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FTSE 100 companies and their all-time highs

The chart below shows the extent to which the 100 stocks in the FTSE 100 Index are below their all-time highs (ATH). For example, RBS is currently 94% below its ATH, while Ashtead is 0% below its ATH (as it is currently at its ATH).

In the chart the stocks are ordered by the time since they hit their ATH. For example, IAG hit its ATH 14 years ago (the longest time for any FTSE stock). Persimmon, Dixons Carphone and Ashtead are at the bottom of the chart as they are all currently at their ATHs.

FTSE 100 all-time highs [2014]BAE Systems is only 12% below its ATH, but ranks high in the chart because its ATH is a long time ago, in 1998.

Weir is currently 35% below its ATH, but is placed relatively low in the chart because its ATH was fairly recently in September 2014.

A few further observations:

  • Three FTSE 100 stocks are currently at their all-time share price highs: Persimmmon [PSN], Dixons Carphone [DC.], Ashtead [AHT]
  • 14 stocks in the FTSE 100 Index have hit their all-time highs in the last two weeks.
  • Eight stocks in the FTSE 100 Index hit their all-time highs in the last millennium: IAG, RSA, AV., LLOY, BA., GSK, KGF, BT.A
  • 20 FTSE 100 stocks are currently more than 50% below their all-time highs.
  • 37 FTSE 100 stocks are currently less than 10% below their all-time highs.

 

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Shares that like/dislike December (2014)

Shares that like December

The following table lists the five FTSE 350 shares that have the best returns in December over the last ten years. For example, G4S has an average return of 6.3% for the month of December. All stocks, except Ashtead, have risen in every December for the past ten years.

Company TIDM Avg(%)
G4S 6.3
Balfour Beatty 6.1
William Hill 5.0
Witan Investment Trust 4.8
Ashtead Group 13.4

Shares that dislike December

The following table lists the two FTSE 350 shares that have the worst returns in December over the last ten years. For example, Rank Group has an average return of -4.2% for the month of December. Both stocks have fallen in seven of the past ten years in December.

Company TIDM Avg(%)
Randgold Resources Ltd -1.8
Rank Group (The) -4.2

An equally-weighted portfolio of the above strong December stocks would have out-performed every year, except 2008, an equally-weighted portfolio of the above weak December stocks by an average of 10.1 percentage points in December for the past ten years.

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Company results announcement dates

Companies listed on the London Stock Exchange are required to release certain information to the public. Some of these statements are one-offs and unpredictable, such as news of takeovers or board changes, while others follow a more regular timetable. For investors, two important such announcements each year are-

  1. interim results (known as interims): usually reported about eight months into a company’s financial year, they relate to the un-audited headline figures for the first half of the company’s year.
  2. preliminary results (known as prelims): un-audited figures published prior to the full annual report at the end of the company’s financial year. (Note – although these are termed “preliminary” these are very much the real final results.)

These announcements are watched very carefully and have the potential to significantly move the share price of a company.

FTSE 100

The following chart plots the frequency distribution of the dates of the interim and preliminary announcements for FTSE 100 companies.

Frequency distribution of results announcement dates - FTSE 100FTSE 250

The following chart is similar to that above except this time the companies are in the FTSE 250 Index.

Frequency distribution of results announcement dates - FTSE 250For the FTSE 250 companies, the announcements are a little more evenly distributed throughout the year, but the main months are the same as those for the FTSE 100:

  • July/August the busiest for interims, and
  • February/March the busiest for the prelims.
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Ranking high-return, low-volatility shares

The chart below was created by taking the 300 FTSE 350 companies that have seven or more year’s historic price data and then using regression analysis to calculate the slope of the regression line and the R-squared for each of the 300 companies’ year end share prices for the last ten years. These 300 pairs of figures (i.e. a gradient figure and R2 for each company) were then plotted on a scatter chart (below).

Regression analysis on year-end share prices of FTSE 350 companies [2004-2013]_bThe above chart is interesting. A line of best fit has been drawn which has a positive slope, which indicates that shares with higher returns tend to also have higher R-squareds (i.e. lower volatility around the trend line).

This is a Good Thing – this is what investors want: shares with high returns and low volatility.

Shares are therefore attractive in the top-right quadrant of the chart above (i.e. shares with positive returns and R2 over 0.5). An example would be Rotork (circled in the chart) with a slope gradient of 2.82 and R2 of 0.91 for its year end share prices since 2004..

To identify shares in the top-right quadrant we can calculate the multiple of the slope gradient and R2 and rank shares in descending order by this value.

The following table shows the top 20 shares in the FTSE 350 Index as ranked by this multiple of slope gradient and R2. This is, in effect, a ranking of the highest-return/lowest-volatility shares for the past ten years, and as such they might be regarded as the best trending shares over that period.

Company TIDM Slope R2 Slope x R2
Personal Assets Trust PNL 13.05 0.83 10.84
Randgold Resources Ltd RRS 6.26 0.73 4.55
Spirax-Sarco Engineering SPX 3.46 0.86 2.96
Reckitt Benckiser Group RB. 3.00 0.90 2.70
SABMiller SAB 2.89 0.93 2.67
Rotork ROR 2.82 0.91 2.56
Spectris SXS 3.29 0.77 2.54
British American Tobacco BATS 2.65 0.96 2.54
Intertek Group ITRK 2.89 0.84 2.43
Croda International CRDA 2.55 0.87 2.22
Rightmove RMV 2.95 0.75 2.20
Next NXT 3.40 0.62 2.11
Shire SHP 2.41 0.86 2.07
Aveva Group AVV 2.25 0.88 1.98
Aggreko AGK 2.14 0.87 1.85
Weir Group WEIR 2.28 0.81 1.84
Whitbread WTB 2.26 0.62 1.40
Unilever ULVR 1.46 0.93 1.35
Petrofac Ltd PFC 1.76 0.75 1.31
Hargreaves Lansdown HL. 1.68 0.77 1.28

 

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Monthly share momentum

Do shares exhibit a momentum effect from one month to the next?

If we selected the best performing shares in one month and created an equally-weighted portfolio of those shares to hold for the following month, would that portfolio out-perform the market index? Or, more interestingly, if we did this systematically every month (i.e. our portfolio each month is comprised of the best performing shares in the previous month), would that portfolio out-perform the market?

The following chart shows the results of operating two such momentum portfolios from 2011-2014:

  1. Port (5): at the end of each month selects the 5 best performing shares and holds these for the following month, re-balancing at the end of each month
  2. Port (10): as above, but the portfolio holds 10 shares each months

Both portfolio values have been re-based to start at 100, as has the FTSE 100 Index included in the chart as a benchmark.

Monthly share momentum portfolios [2010-2014]By mid-2014 the momentum Port (5) would had a value of 176, the momentum Port (10) would had a value of 178, compared with a value of 114 for the FTSE 100.

 

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Shares that like/dislike November (2014)

Shares that like November

The following table lists the four FTSE 350 shares that have the best returns in November over the last ten years. For example, Greene King has an average return of 6.0% for the month of November. Each stock has risen in at least nine of the past ten years in November.

Company TIDM Avg(%)
Greene King 6.0
Babcock International Group 5.8
Shire 4.7
Compass Group 4.6

Shares that dislike November

The following table lists the three FTSE 350 shares that have the worst returns in November over the last ten years. For example, Tullet Prebon has an average return of -7.3% for the month of November. All three stocks have fallen in eight of the past ten years in November.

Company TIDM Avg(%)
Tullett Prebon -7.3
Lloyds Banking Group -5.5
CSR -3.5

An equally-weighted portfolio of the above strong November stocks would have out-performed every year an equally-weighted portfolio of the above weak November stocks by an average of 10.7 percentage points in November for the past ten years.

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