UK equity indices returns 2016 3Q & YTD

2016 3Q

The following chart plots the performance of UK equity indices in the third quarter 2016.

UK equity index returns 2016 3Q

The data for the chart is given in the following table.

Index Rtn(%)
FTSE AIM 100 16.3
FTSE AIM All-Share 15.7
FTSE Fledgling 12.8
FTSE TechMARK Focus Index 12.0
FTSE SmallCap 11.3
FTSE 250 9.8
FTSE TechMARK All Share 8.4
FTSE All-Share – Total Return 7.8
FTSE 100 Index – Total Return 7.1
FTSE All-Share 6.8
FTSE 350 6.7
FTSE4Good UK 6.7
FTSE4Good UK 50 6.3
FTSE 100 6.1
FTSE UK Dividend Plus 5.6

2016 3Q YTD

The following chart plots the performance of UK equity indices over the first 3 quarters of 2016.

UK equity index returns 2016 3Q YTD

The data for the chart is given in the following table.

Index Rtn(%)
FTSE AIM 100 16.3
FTSE AIM All-Share 15.7
FTSE Fledgling 12.8
FTSE TechMARK Focus Index 12.0
FTSE SmallCap 11.3
FTSE 250 9.8
FTSE TechMARK All Share 8.4
FTSE All-Share – Total Return 7.8
FTSE 100 Index – Total Return 7.1
FTSE All-Share 6.8
FTSE 350 6.7
FTSE4Good UK 6.7
FTSE4Good UK 50 6.3
FTSE 100 6.1
FTSE UK Dividend Plus 5.6

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UK equity indices returns 2016 2Q & 1H

2016 2Q

The following chart plots the performance of UK equity indices in the second quarter 2016.

UK equity index returns 2016 2Q

 

The data for the chart is given in the following table.

Index Rtn(%)
FTSE 100 Index – Total Return 6.5
FTSE 100 5.3
FTSE4Good UK 50 5.0
FTSE All-Share – Total Return 4.7
FTSE 350 3.7
FTSE All-Share 3.5
FTSE4Good UK 3.5
FTSE TechMARK All Share 2.9
FTSE AIM 100 1.2
FTSE TechMARK Focus Index 1.0
FTSE AIM All-Share -0.4
FTSE UK Dividend Plus -1.5
FTSE SmallCap -1.6
FTSE Fledgling -2.2
FTSE 250 -3.9

 2016 1H

The following chart plots the performance of UK equity indices in the first half 2016.

UK equity indices 2016 1H

The data for the chart is given in the following table.

Index Rtn(%)
FTSE 100 Index – Total Return 6.62
FTSE All-Share – Total Return 4.27
FTSE 100 4.2
FTSE 350 2.27
FTSE All-Share 2.07
FTSE4Good UK 50 1.99
FTSE4Good UK 0.84
FTSE TechMARK All Share -1.17
FTSE UK Dividend Plus -2.32
FTSE TechMARK Focus Index -2.85
FTSE Fledgling -3.41
FTSE SmallCap -3.52
FTSE AIM 100 -4.09
FTSE AIM All-Share -4.19
FTSE 250 -6.65

 

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UK equity indices returns 2016 1Q

The following chart plots the performance of UK equity indices in the first quarter 2016.

UK equity indices 2016 1Q
The data for the chart is given in the following table.

Index Rtn(%)
FTSE 100 Index – Total Return 0.1
FTSE All-Share – Total Return -0.4
FTSE UK Dividend Plus -0.9
FTSE 100 -1.1
FTSE Fledgling -1.2
FTSE 350 -1.4
FTSE All-Share -1.4
FTSE SmallCap -2.0
FTSE4Good UK -2.6
FTSE4Good UK 50 -2.9
FTSE 250 -2.9
FTSE AIM All-Share -3.8
FTSE TechMARK Focus Index -3.8
FTSE TechMARK All Share -4.0
FTSE AIM 100 -5.2

 

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UK equity indices performance – 2015: Y, 2H, 4Q

The following charts plot the performance of UK equity indices in 2015 for the whole year, second half and fourth quarter.

Full year

Index returns for January – December 2015

UK equity indices 2015

Second half

Index returns for July – December 2015

UK equity indices 2015 2H

Fourth quarter

Index returns for October – December 2015

UK equity indices 2015 4Q

 

Consolidated

The above three time periods (1Y, 2H, 4Q) are consolidated into the one chart below.

UK equity indices in 2015 (4Q, 2H, Y)

The following table summarises the data for the chart.

Index TIDM 2015 4Q 2015 2H 2015 Y
FTSE 100 3.0 -4.3 -4.9
FTSE 100 Index – Total Return 3.7 -2.6 -1.3
FTSE 250 4.5 -0.6 8.4
FTSE 350 3.2 -3.6 -2.8
FTSE AIM 100 6.1 4.2 14.4
FTSE AIM All-Share 1.9 -2.2 5.2
FTSE All-Share 3.3 -3.4 -2.4
FTSE All-Share – Total Return 4.0 -1.9 1.1
FTSE Fledgling 0.4 -2.6 12.7
FTSE SmallCap 3.5 -0.8 6.2
FTSE TechMARK All Share 8.1 5.6 9.9
FTSE TechMARK Focus Index 8.5 6.5 14.4
FTSE UK Dividend Plus -1.0 -7.3 -3.3
FTSE4Good UK 3.1 -3.0 -2.3
FTSE4Good UK 50 2.5 -4.3 -5.3

 

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2Q 2015 UK equity markets performance

The following chart shows the performance of the main UK stock market indices in the second quarter 2015.

2015 2Q UK equity markets returns

As in the first quarter, small caps easily out-performed large caps.

Data

The data for the above chart is shown in the following table.

Index 2Q 2015 Rtn(%)
FTSE Fledgling 7.7
FTSE AIM All-Share 5.5
FTSE AIM 100 4.8
FTSE 250 2.6
FTSE SmallCap 1.7
FTSE TechMARK Focus Index 0.1
FTSE All-Share – Total Return -1.6
FTSE UK Dividend Plus -1.7
FTSE TechMARK All Share -1.9
FTSE All-Share -2.5
FTSE 350 -2.7
FTSE 100 Index – Total Return -2.8
FTSE4Good UK -2.9
FTSE 100 -3.7
FTSE4Good UK 50 -4.0

1H 2015

The following chart shows the performance of the main UK stock market indices in the first half of 2015.

2015 1H UK equity markets returns

 

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2015 1Q market review – comparative performance of UK equity indices

The following chart shows the performance of the main UK stock market indices in the first quarter 2015.

UK indices comparative returns 2015 1Q

The relative performance was fairly typical for a first quarter (e.g. 2014 1Q). For example, small and mid-caps (e.g. FTSE Fledgling, FTSE 250 and FTSE SmallCap) greatly outperformed the large caps (FTSE 100).

Data

The data for the above chart is shown in the following table.

Index 2015 1Q Rtn(%)
FTSE Fledgling 7.4
FTSE TechMARK Focus Index 7.3
FTSE 250 6.2
FTSE TechMARK All Share 6.1
FTSE UK Dividend Plus 6.1
FTSE SmallCap 5.3
FTSE AIM 100 4.8
FTSE All-Share – Total Return 4.7
FTSE 100 Index – Total Return 4.2
FTSE All-Share 3.7
FTSE4Good UK 3.7
FTSE 350 3.6
FTSE 100 3.2
FTSE4Good UK 50 3.0
FTSE AIM All-Share 2.0

 

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2014 1Q market review – comparative performance of UK equity indices

The following chart shows the performance of the main UK stock market indices in the first quarter 2014.

UK indices comparative returns 2014 1Qb

Continuing the trend of 2013, the FTSE Fledgling, 250 and Small Cap indices out-performed the FTSE 100.

The data for the above chart is shown in the following table.

Index 2014 1Q Rtn(%)
FTSE Fledgling 5.0
FTSE 250 2.1
FTSE SmallCap 0.9
FTSE AIM All-Share 0.0
FTSE UK Dividend Plus -0.3
FTSE All-Share – Total Return -0.6
FTSE TechMARK All Share -0.6
FTSE AIM 100 -1.2
FTSE 100 Index – Total Return -1.3
FTSE All-Share -1.5
FTSE 350 -1.6
FTSE4Good UK -1.8
FTSE 100 -2.2
FTSE4Good UK 50 -2.8

 

 

 

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2013 market review – comparative performance of UK equity indices

The following chart shows the performance of the main UK stock market indices in 2013.

UK markets annual returns 2013As can be seen, the FTSE 100 Index had the lowest returns of the indices. The strongest performance was from small and mid cap indices.

The data for the above chart is shown in the following table.

Index 2013 Rtn(%)
FTSE Fledgling 35.8
FTSE TechMARK All Share 31.9
FTSE SmallCap 29.6
FTSE 250 28.8
FTSE AIM 100 22.6
FTSE All-Share – Total Return 20.8
FTSE AIM All-Share 20.3
FTSE 100 Index – Total Return 18.7
FTSE4Good UK 18.4
FTSE UK Dividend Plus 18.3
FTSE All-Share 16.7
FTSE 350 16.4
FTSE4Good UK 50 15.9
FTSE 100 14.4

 

 

 

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Sun and the stock market

When the sun shines do you find yourself hovering over the trading screen enthusiastically adding stocks to your portfolio? Or on cloudy days when the rain beats against the window do you sit morosely at your desk, your finger stabbing at the sell button?

Two academic papers seem to think this is how you behave. The first paper[1], published in 2003, analysed 26 international stock exchanges and found that sunshine was “strongly positively correlated” with market index returns. The authors attributed this to sunny weather fostering an “upbeat mood”. They even claimed it was possible (after trading costs) to trade profitably on the weather. A second paper[2], published in 2007, found that the sunshine effect was stronger for stock exchanges further away from the equator (e.g. exchanges in dark, gloomy northern European countries), and that the effect did not exist on the equator itself.

This seemed a fun and easy topic to study, so we dived in.

The chart below plots daily sun hours (at Heathrow) against the FTSE 100 Index return on the same day.

Sun hours v FTSE 100 Index

At first glance, you might think that the chart shows no correlation between the two series (i.e. sun hours and index returns). And you’d be right. Even second or third glances will not reveal any positive correlation. In fact, if you look very closely and squint, you may even see a negative correlation – which is not at all what we want.

We should have stopped there. But we were motivated to find some correlation. We’d read the academic papers and also paid a reasonable amount of cash for the weather data (stock tip: if the Met Office is ever privatised…).

So, on we went.

Perhaps the effect does not exist for the FTSE100 Index which, after all, is heavily influenced by foreign investors, who are trading from their pools in the Caribbean or skyscrapers in Shanghai and who are unlikely to be affected greatly by how sunny it is in Orpington. So, we looked at sun hours and the FTSE 250 Index – an index more closely reflecting UK PLC and possibly attracting more domestic investors.

No, no correlation.

Perhaps the effect really displays itself for smaller stocks? We drafted in the FTSE Small Cap Index.

No correlation.

The AIM market – home of optimistic punters with a sunny disposition. Surely, the sunshine effect will reveal itself there?

Nothing.

OK. Let’s start manipulating the data.

We calculated the average daily sun hours for the winter and summer periods, and then adjusted the daily sun hours data by calculating the daily divergence of sun hours from their seasonal average. After all, just two hours of sunshine in the winter could be considered a sunny day. That should do it.

No.

We limited the analysis to just those days with extremes of sunshine (i.e. daily sun hours one standard deviation away from the average).

Nothing.

Perhaps the change in sun hours from one day to the next would work? In other words, the effect would kick in when a sunny day followed a cloudy day, or vice versa.

Nada.

In desperation to rescue something from all the research, we looked at sun hours against daily trading volumes. If the curmudgeonly UK investor wasn’t inspired by the sun to increase his net equity exposure, perhaps he at least punted around a bit more. Well, finally, on this one…….

No. No correlation.

At the end of everything the best we could do was the chart below – the FTSE 250 Index plotted against the change in sun hours from the previous day.

Hardly much of an improvement on the first chart – still just a random mass of uncorrelated dots. At least the correlation is (minutely) positive, but we wouldn’t recommend trading off it.

Summary

So, who is wrong, the papers or our research?

It’s difficult to say. Our data covered the period 2007-12, while the first academic paper looked at data for the period 1982-97. Possibly the effect has changed in the intervening years.

But if the academic papers are right, and the sunshine effect does exist, this would seem to conflict with the strongest seasonality effect in the market – whereby the market in the (dark) winter months out-performs the (sunny) summer months.

Tricky thing, the market.


[1] Hirshleifer,  D. and T. Shumway (2003). Good day sunshine:  Stock returns and the weather. The Journal of Finance 58 (3)

[2] Keel, S. P. and M. L. Roush (2007). A meta-analysis of the international evidence of cloud cover on stock returns. Review of Accounting and Finance 6 (3)

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