Day of the week grid

An update of the Day of the Week grid.

This is a table showing the daily returns of the FTSE 100 Index for every day so far in 2017. Positive returns are highlighted in green, negative returns in red. (White cells indicate a market holiday.)

Day of the week grid [Nov 2017]

Pattern-match away…!

Other articles looking at returns on days of the week.

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Market returns in odd and even weeks

A couple of years ago the Almanac wrote about a strange characteristic of the UK equity market which was the difference in performance in odd and even weeks. The original article is here (see the original article for the definition of odd/even weeks etc.) To recap briefly, the FTSE 100 Index saw much stronger returns in odd weeks than even weeks.

Let’s see what’s happened recently and if this strange characteristic still exists. 

The following chart shows the FTSE 100 average returns for odd and even weeks for the period 2010 to 2017, and also for the individual years 2016 and 2017 (to date). 

Average FTSE 100 returns in odd and even weeks

As can be seen, for the period from 2010 the FTSE 100 has seen on average positive returns in odd weeks and negative returns in even weeks. In effect, for the last few years in aggregate all the growth in the index has been due to its performance in odd weeks.

In 2016, the market on average did see positive returns in even weeks (albeit still less than the odd-week returns). But so far in 2017 the longer-term trend has reasserted itself, with strong odd-week returns and negative even-week returns.

The following chart updates the performance of two hypothetical portfolios: one of which only invests in the market in odd weeks, and the other only invests in even weeks.

Odd v Even Week FTSE 100 Portfolios [2010-2017]

The significant divergence in performance previously observed has continued to today. Having started with values of 100 in 2010, by November 2017 the Odd Week Portfolio would have had a value of 187, compared with a value of 75 for the Even Week Portfolio. The change in value of the Even Week Portfolio has changed little from 2015, whereas the Odd Week Portfolio has grown strongly.

As mentioned in the original article, there is no obvious reason for this weekly phenomenon, although such weekly effects have been seen elsewhere – for example, the FOMC Cycle.

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Volatility of markets in 2017

The following chart shows the volatility of various markets so far in 2017.

Volatility In 2017

Not difficult – or surprising – to spot the most volatile market here.

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UK equity indices returns 2017 3Q & YTD

2017 3Q

The following chart plots the performance of UK equity indices in the third quarter 2017.

UK equity index returns 2017 3Q

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

Index TIDM Rtn(%)
FTSE AIM 100 5.5
FTSE Fledgling 4.7
FTSE AIM All-Share 4.0
FTSE 250 2.8
FTSE SmallCap 2.3
FTSE All-Share – Total Return 2.1
FTSE 100 Index – Total Return 1.8
FTSE TechMARK Focus Index 1.7
FTSE4Good UK 1.3
FTSE All-Share 1.2
FTSE 350 1.2
FTSE 100 0.8
FTSE4Good UK 50 0.7
FTSE TechMARK All Share -0.5
FTSE UK Dividend Plus -2.8

2017 3Q YTD

The following chart plots the performance of UK equity indices over the first 3 quarters of 2017.

UK equity index returns 2017 3Q YTD

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

Index Rtn(%)
FTSE AIM 100 25.6
FTSE AIM All-Share 18.9
FTSE Fledgling 17.6
FTSE SmallCap 11.1
FTSE 250 9.9
FTSE All-Share – Total Return 7.8
FTSE 100 Index – Total Return 6.6
FTSE TechMARK Focus Index 5.5
FTSE All-Share 4.6
FTSE 350 4.3
FTSE4Good UK 4.0
FTSE TechMARK All Share 3.5
FTSE 100 3.2
FTSE4Good UK 50 2.8
FTSE UK Dividend Plus -0.9

 

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FTSE 100 and FTSE 250 Quarterly Review – September 2017

After market close on 30 August 2017 FTSE Russell confirmed the following changes to the FTSE 100 and FTSE 250 indices. The changes will be implemented at the close Friday, 15 September 2017 and take effect from the start of trading on Monday, 18 September 2017.

FTSE 100

Joining: NMC Health [NMC], Berkeley Group Holdings [BKG]

Leaving: Royal Mail [RMG], Provident Financial [PFG]

FTSE 250

Joining: Royal Mail [RMG], Provident Financial [PFG], Alfa Financial Software Holdings [ALFA], 888 Holdings [888], Sequoia Economic Infrastructure Income Fund [SEQ]

Leaving: NMC Health [NMC], Berkeley Group Holdings [BKG], Northgate [NTG], Petra Diamonds [PDL], Carillion [CLLN]

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UK equity indices returns 2017 2Q & 1H

2017 2Q

The following chart plots the performance of UK equity indices in the second quarter 2017.

UK equity index returns 2017 2Q

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

Index TIDM Rtn(%)
FTSE AIM 100 6.3
FTSE AIM All-Share 3.9
FTSE Fledgling 3.7
FTSE SmallCap 2.8
FTSE 250 1.9
FTSE TechMARK All Share 1.6
FTSE TechMARK Focus Index 1.5
FTSE All-Share – Total Return 1.4
FTSE 100 Index – Total Return 1.0
FTSE4Good UK 0.5
FTSE4Good UK 50 0.3
FTSE All-Share 0.3
FTSE 350 0.2
FTSE 100 -0.1
FTSE UK Dividend Plus -1.4

2017 1H

The following chart plots the performance of UK equity indices in the first half 2017.

UK equity index returns 2017 1H

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

Index Rtn(%)
FTSE AIM 100 19.01
FTSE AIM All-Share 14.4
FTSE Fledgling 12.26
FTSE SmallCap 8.59
FTSE 250 6.99
FTSE All-Share – Total Return 5.5
FTSE 100 Index – Total Return 4.69
FTSE TechMARK All Share 3.99
FTSE TechMARK Focus Index 3.72
FTSE All-Share 3.33
FTSE 350 3.14
FTSE4Good UK 2.65
FTSE 100 2.38
FTSE4Good UK 50 2.12
FTSE UK Dividend Plus 1.87
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UK equity indices returns 2017 1Q

The following chart plots the performance of UK equity indices in the first quarter 2017.

UK equity index returns 2017 1Q

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

Index TIDM Rtn(%)
FTSE AIM 100 11.9
FTSE AIM All-Share 10.1
FTSE Fledgling 8.3
FTSE SmallCap 5.6
FTSE 250 4.9
FTSE All-Share – Total Return 4.0
FTSE 100 Index – Total Return 3.7
FTSE UK Dividend Plus 3.3
FTSE All-Share 3.0
FTSE 350 2.9
FTSE 100 2.5
FTSE TechMARK All Share 2.3
FTSE TechMARK Focus Index 2.2
FTSE4Good UK 2.1
FTSE4Good UK 50 1.8

 

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FTSE 100 and FTSE 250 Quarterly Review – March 2017

After market close on 1 March 2017 FTSE Russell confirmed the following changes to the FTSE 100 and FTSE 250 indices. The changes will be implemented at the close Friday, 17 March 2017 and take effect from the start of trading on Monday, 20 March 2017.

FTSE 100

Joining: Scottish Mortgage IT [SMT], Rentokil Initial [RTO]

Leaving: Capita [CPI], Dixons Carphone [DC.]

FTSE 250

Joining: Northgate [NTG], Sanne Group [SNN], Syncona [SYNC]

Leaving: Brown N [BWNG], CMC Markets [CMCX], International Personal Finance [IPF]

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A very average start to 2017

The following chart plots the daily returns of the FTSE 100 Index for the nine days around Christmas and New Year.

The blue bars plot the average daily returns of these days for the period 2000-2016. The orange bars plot the daily returns for the last nine days.

FTSE 100 Index daily returns around Christmas and New Year [2017]

As can be seen the actual daily returns for the last nine days have been on the whole pretty close to the average daily returns seen for the last 16 years..

  • Strong returns have been seen on the trading days following Christmas and New Year.
  • After the first day after New year, returns have trailed off (days 8 and 9 in the chart).
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Average market behaviour in January

The following chart plots the average performance of the FTSE 100 Index during January since 1984.

Average month chart for January [1985-2016]

As can be seen, historically the market tends to rise for the first two or three days in January and then sells off quite strongly over the following two weeks. The second week of January is the weakest week for the market in the whole year. Then, around the middle of the third week, the market has tended to rebound sharply.


Other articles about the market in January.

 

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