Analysis in the new 2018 edition of the Almanac

Almanac cover - 2018 (small 2)

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

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Strategies included in the new 2018 edition of the Almanac

Almanac cover - 2018 (small 2)

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!

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The new Almanac for 2018!

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!

Almanac cover - 2018

 

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Reminder – the new Almanac for 2017 has just been released!

Almanac-2017-Cover

The new edition of the Almanac,The UK Stock Market Almanac 2017, has just been published.

A previous blog post detailed all the new studies and strategies in the 2017 edition. The 2017 Almanac also updates some of the studies of seasonality trends and anomalies that have featured in previous editions. Including-

Seasonality and anomaly updates in the new edition

  • 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 had its best year ever last year.
  • Strong/weak shares by month – analysis of FTSE 350 shares reveals those that have performed consistently strongly or weakly for each month for the past ten years. Some shares have risen (or fallen) in a specific month for every year since 2007.
  • 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.
  • 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 38.7 percentage points each year since 2002.
  • Quarterly Sector Strategy – The strongest/weakest sectors for each quarter are identified; and the Quarterly Sector Strategy continues to beat the market.
  • 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.
  • 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.
  • Day of the Week Strategy – a strategy exploiting the day of the week anomaly that out-performs the FTSE 100 Index. [wk.??, with day of the week analysis also on p?? in stats section]
  • Monthly Share Momentum Strategy – a monthly re-balanced momentum portfolio of FTSE 100 stocks beats the market.
  • 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 8.8 percentage points annually; in the year since the last edition of the Almanac the out-performance was 4.2 percentage points.
  • 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?
  • Market seasonality (day/week/month) – December is still the strongest month in the year for the stock market, while September is the weakest. Analysis is also updated for weekly and daily performance of the market (Sinclair Numbers) [p??]
  • Day of the week performance – Thursday is the new weakest day of the week (Monday used to be), and the strongest day is now Friday. [p?? (in stats section)]
  • Turn of the month – The market tends to be weak a few days either side of the turn of the month, but abnormally strong on the first trading of the new month (except December). [p?? (in stats section)]
  • FTSE 100 Index quarterly reviews – as before, it is found that share prices tend to rise immediately before a company joins the FTSE 100 index and are then flat or fall back. Before a company leaves the index share prices tend to fall and then rise after the exit. [wks 10, ??]
  • FTSE 100 and FTSE 250 indices – the trend continues for the FTSE 100 Index to greatly under-perform the mid-cap index in January and February and out-perform it in September and October. [p?? – (in stats section)]
  • FOMC announcements ­ how do US and UK equities react in the days around the periodic announcements of the policy statement of the Federal Open Market Committee.
  • Gold ­ does the price of gold exhibit a monthly seasonality?
  • Holidays and the market – in recent years the market has been significantly strong on the days immediately before and after holidays and weak fours days before and three days after holidays.
  • Trading around Christmas – how do share prices behave in the days around Christmas?
  • The January Effect – analysis suggests that performance in January is inversely proportional to company size (i.e. small companies like January!)
  • Very large one-day market falls ­ analysis of the behaviour of the FTSE 100 Index for very large one-day falls.
  • Lunar calendar and the stock market – do the phases of the moon affect the stock market?
  • Super Bowl  – ­does the Super Bowl Indicator really accurately predict the market for the year?
  • Market momentum grid – a reference grid is presented giving the historic tendency of the market to rise (fall) following a series of consecutive daily/weekly/monthly/yearly rises (falls). As before, it is found that trends become more established the longer they last, and the market displays greater momentum for longer frequencies. [p?? (in stats section)]
  • UK and US markets – the correlation between the UK and US markets has been increasing since the 1950s, and in the years since 2010 has been stronger than ever. [p?? (in stats section)]
  • Correlation of UK equity markets – if you want to diversify away from FTSE 100 Index, how effective will it be investing in the FTSE 250, FTSE Small Cap, FTSE Fledgling or FTSE AIM All Shares indices? [p?? (in stats section)]
  • Seasonality of GBPUSD ­  – what are the strong/weak months for GB sterling against the US dollar?
  • The average market month – by taking the average performance of the market on each day of a month it is possible to create a chart of the average performance of the market for that month, and then to combine the 12 charts to produce a chart of the average behaviour of the market in all months.
  • The average market year – the performance and volatility of the market for an average year.
  • The market’s decennial cycle – can analysis of the market’s performance in the equivalent years of decades reveal any pattern of behaviour?
  • Ultimate Death Cross  – ­ has the 50-month moving average crossed down through the 200-month moving average?
  • The Long-Term Formula – the formula that describes the long-term trend of the stock market and gives a forecast for the FTSE 100 in December 2040.

In addition to the above, analysis is also updated for the standard Almanac features such as: comparative performance of UK equity indices, company ranking by financial and price behaviour criteria, price history profile of the FTSE All Share Index, sector profiles of the FTSE 100 and 250 indices, annual performance of sectors etc.

Order your copy of 2017 Almanac now!

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New 2017 edition of the Almanac just published

Almanac-2017-Cover

The new edition of the Almanac, The Harriman Stock Market Almanac 2017, has just been released.

The Almanac is a unique reference work providing traders and investors with the data to tackle the markets in the year ahead.

The 2017 edition is packed with new research. New strategies and studies appearing in the Almanac for the first time include-

New research

  • World’s Simplest Trading System ­ a simple trading system based on moving averages with an impressive performance.
  • Construction Sector 4M Strategy ­ exploits a seasonality anomaly of the construction sector.
  • Sell In May Sector Strategy ­ how to exploit the Sell in May effect with sectors.
  • Turn Of The Month Strategy ­ all the market’s gains occur in just six days around the turn of the month.
  • January Barometer ­ do the first five trading days of the year predict the full year?
  • Odd/even weeks ­ the market in odd weeks greatly out-performs that in even weeks.
  • Santa Rally ­ does a Santa Rally exist for shares and, if so, when does it start?
  • Santa Rally Portfolio ­ the 10 stocks that have had positive returns over the two-week Santa Rally period for every year since 2007.
  • Sell in May and come back…when? ­ if you sell in May when should you come back into the market?
  • Up/Down ratio ­ analysis of the correlation between the ratio of up/down days in a year and the overall annual return of the FTSE 100 Index.
  • Solar eclipse ­ do solar eclipses affect stock markets?
  • Dividend payment calendar ­ analysis of when FTSE 100 companies pay dividends throughout the year.
  • FOMC cycle ­ the equity premium in the US and worldwide is earned entirely in weeks 0, 2, 4 and 6 in FOMC cycle time.
  • The psychology of drawdowns ­ why investors may almost always feel a prevailing sense of loss.
  • Do European stocks follow the US on a daily basis? ­  analysis of the correlation of EuroSTOXX and S&P 500.
  • Fed rate cycle ­ analysis of the relationship between the Fed rate cycle and UK equities.
  • UK bank rate since 1694 ­ analysis of Bank of England base rate changes over the last three centuries.

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The new Almanac for 2016 has just been released

Almanac 2016 cover

The new edition of the Almanac,The UK Stock Market Almanac 2016, has just been published.

A previous blog post detailed all the new studies and strategies in the new 2016 edition. The 2016 Almanac also updates some of the studies of seasonality trends and anomalies that have featured in previous editions. Including-

 

  • 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 8.6 percentage points annually; in the year since the last edition of the Almanac the out-performance was 4.2 percentage points.
  • Day Of The Week Strategy – a strategy exploiting the day of the week anomaly that significantly out-performs the FTSE 100 Index.
  • 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.
  • 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.
  • Quarterly Sector Strategy – The strongest/weakest sectors for each quarter are identified; and the Quarterly Sector Strategy continues to beat the market.
  • Monthly Share Momentum Strategy – a monthly re-balanced momentum portfolio of FTSE 100 stocks beats the market.
  • Tuesday Reverses Monday Strategy – since year 2000 market returns on Tuesdays have been the reverse of those on Monday. A strategy using this effect has significantly out-performed the FTSE 100 Index over this period.
  • 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 2.7 percentage points per month. A variant – buying the worst sector of the previous quarter – has performed even better.
  • 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 beaten the market every year since 2003 except one year.
  • FTSE 100 Index quarterly reviews – as before, it is found that share prices tend to rise immediately before a company joins the FTSE 100 index and are then flat or fall back. Before a company leaves the index share prices tend to fall and then rise after the exit.
  • FTSE 100 and FTSE 250 indices – the trend continues for the FTSE 100 Index to greatly under-perform the mid-cap index in January and February and out-perform it in September and October.
  • Holidays and the market – in recent years the market has been significantly strong on the days immediately before and after holidays and weak fours days before and three days after holidays.
  • Summer portfolio – a portfolio of five (summer) stocks has out-performed the FTSE 350 Index every year for ten years with an average annual out-performance of 8.5 percentage points.
  • Market seasonality (day/week/month) – December is still the strongest month in the year for the stock market, while September is the weakest. Analysis is also updated for weekly and daily performance of the market (Sinclair Numbers).
  • The January Effect – analysis suggests that performance in January is inversely proportional to company size (i.e. small companies like January!)
  • Day of the week performance – Wednesday is the new weakest day of the week (Monday used to be), and the strongest days are now Tuesday and Thursday.
  • Turn of the month – The market tends to be weak a few days either side of the turn of the month, but abnormally strong on the first trading of the new month (except December).
  • First/last trading day of the month – the first trading days of April and July are found to be unusually strong, while that of December is weak. The last trading day of October is found to be the year’s strongest, while the weakest are those for February and November.
  • Trading around Christmas – how do share prices behave in the days around Christmas?
  • Strong/weak shares by month – analysis of FTSE 350 shares reveals those that have performed consistently strongly or weakly for each month for the past ten years. Some shares have risen (or fallen) in a specific month for every year since 2005.
  • Market momentum grid – a reference grid is presented giving the historic tendency of the market to rise (fall) following a series of consecutive daily/weekly/monthly/yearly rises (falls). As before, it is found that trends become more established the longer they last, and the market displays greater momentum for longer frequencies.
  • UK and US markets – the correlation between the UK and US markets has been increasing since the 1950s, and in the years since 2010 has been stronger than ever.
  • Correlation between UK and international markets – analysis of the correlation of the UK with six overseas stock markets to answer the question: where to find diversification?
  • The Long-Term Formula – the formula that describes the long-term trend of the stock market and gives a forecast for the FTSE 100 in December 2040.
  • MPC meetings – how does the monthly MPC announcement on interest rates affect share prices?
  • Correlation of UK equity markets – if you want to diversify away from FTSE 100 Index, how effective will this be investing in the FTSE 250, FTSE Small Cap, FTSE Fledgling or FTSE AIM All Shares indices?
  • Daylight saving effect – what is the effect on financial markets of the switches to and from daylight saving time?
  • The Market’s Decennial Cycle – can analysis of the market’s performance in the equivalent years of decades reveal any pattern of behaviour?
  • The average market month – by taking the average performance of the market on each day of a month it is possible to create a chart of the average performance of the market for that month, and then to combine the 12 charts to produce a chart of the average behaviour of the market in all months.
  • The average market year – the performance and volatility of the market for an average year.

In addition to the above analysis is also updated for the standard Almanac features such as: comparative performance of UK equity indices, company ranking by financial and price behaviour criteria, price history profile of the FTSE All Share Index, sector profiles of the FTSE 100 and 250 indices, annual performance of sectors etc.

Order your copy now!

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New edition of the Almanac just published

Almanac 2016 cover

The new edition of the Almanac, The UK Stock Market Almanac 2016, has just been released.

The 2016 edition is packed with new research. New strategies and studies appearing in the Almanac for the first time include-

New research

  • Nonfarm payrolls – what impact does the nonfarm payroll report have on equities in the days around the announcement?
  • MSCI Index reviews – how do share prices behave when a company is added to the MSCI United Kingdom Index?
  • Flotations – what is the performance of recently floated companies?
  • Equally weighted indices – which index should you be tracking?
  • Day of the month – what is the historic behavior of the market on each of the days in a month?
  • Monthly seasonality of oil – which months have been historically strong or weak for the oil price?
  • Monthly seasonality of silver – which months have been historically strong or weak for the silver price?
  • Olympic Games – how do the stock markets of Olympic host nations perform in the year of the Games?
  •  Very large one-day market falls – how do equity prices react in the days following a large fall?

US Presidential Election

Possibly the most significant known event for 2016 will be the Presidential Election in the US. To mark this the Almanac includes–

  • Stock market in election years – charts displaying the performance of the FTSE All-Share Index in the 14 presidential election years since 1960.
  • Stock market around elections – analysis of the behaviour of share prices in the days around presidential elections.
  • Presidential election cycle – analysis of the effect of the 4-year presidential cycles on UK stock prices.
  • Presidential election portfolios – should investors want a democrat or republican in the White House?

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10 strategies exploiting market anomalies and seasonality trends

Below is a list to ten strategies that look to exploit seasonality trends and market anomalies:

  1. FTSE 100/FTSE 250 monthly switching strategy
  2. Bounceback portfolio
  3. Monthly share momentum strategy
  4. Low-high price portfolio
  5. Quarterly sector strategy
  6. Six-month strategy with MACD
  7. Quarterly sector momentum strategy
  8. Quarterly sector reversal strategy
  9. Comparative performance of FTSE 100 and S&P 500
  10. Tuesday reverses Monday

Further details on these and other such strategies can be found in the UK Stock Market Almanac published this month.

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General Election 2015 and the stock market

the-uk-stock-market-almanac-20152015 is the year of the general election in the UK.

How will the stock market behave during the year?

The newly published UK Stock Market Almanac looks at the history of general elections in the UK and finds the trends that could recur in 2015.

In detail, the Almanac looks at:

  • Stock market in election years – charts displaying the performance of the FTSE All-Share Index in the 15 General Election years since 1951.
  • Stock market around elections – analysis of the behaviour of share prices in the days around a general election.
  • Politics and financial markets – a chart showing the correlation of equity prices, interest rates, GBPUSD currency rate, gold price and the political party of government since 1944.

And, still on a political theme, the 2015 Almanac also looks at–

  • Budget Day – how do equities, currencies and gilts behave on the days around the Chancellor’s Budget Day?

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The new Almanac for 2015 has just been released

the-uk-stock-market-almanac-2015The new edition of the Almanac, The UK Stock Market Almanac 2015, has just been published.

A previous blog post detailed all the new studies and strategies in the new 2015 edition. The 2015 Almanac also updates some of the studies of seasonality trends and anomalies that have featured in previous editions. Including-

  • 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 8.8 percentage points annually; in the year since the last edition of the Almanac the out-performance was 6.3 percentage points.
  • Day Of The Week Strategy – a strategy exploiting the day of the week anomaly that significantly out-performs the FTSE 100 Index.
  • 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.
  • 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 43.4 percentage points each year since 2002.
  • Quarterly Sector Strategy – The strongest/weakest sectors for each quarter are identified; and the Quarterly Sector Strategy continues to beat the market.
  • Monthly Share Momentum Strategy – a monthly re-balanced momentum portfolio of FTSE 100 stocks beats the market by an average of 1.1 percentage points per month.
  • Tuesday Reverses Monday Strategy – since year 2000 market returns on Tuesdays have been the reverse of those on Monday. A strategy using this effect has significantly out-performed the FTSE 100 Index over this period.
  • FTSE 100 Index quarterly reviews – as before, it is found that share prices tend to rise immediately before a company joins the FTSE 100 index and are then flat or fall back. Before a company leaves the index share prices tend to fall and then rise after the exit.
  • FTSE 100 and FTSE 250 indices – the trend continues for the FTSE 100 Index to greatly under-perform the mid-cap index in January and February and out-perform it in September and October.
  • Holidays and the market – in recent years the market has been significantly strong on the days immediately before and after holidays and weak fours days before and three days after holidays.
  • Summer portfolio – a portfolio of five (summer) stocks has out-performed the FTSE 350 Index every year for ten years with an average annual out-performance of 8.5 percentage points.
  • Market seasonality (day/week/month) – December is still the strongest month in the year for the stock market, while September is the weakest. Analysis is also updated for weekly and daily performance of the market (Sinclair Numbers).
  • The January Effect – analysis suggests that performance in January is inversely proportional to company size (i.e. small companies like January!)
  • Day of the week performance – Wednesday is the new weakest day of the week (Monday used to be), and the strongest days are now Tuesday and Thursday.
  • Turn of the month – The market tends to be weak a few days either side of the turn of the month, but abnormally strong on the first trading of the new month (except December).
  • First/last trading day of the month – the first trading days of April and July are found to be unusually strong, while that of December is weak. The last trading day of October is found to be the year’s strongest, while the weakest are those for February and November.
  • Trading around Christmas – how do share prices behave around Christmas?
  • Strong/weak shares by month – analysis of FTSE 350 shares reveals those that have performed consistently strongly or weakly for each month for the past ten years. Some shares have risen (or fallen) in a specific month for every year since 2003.
  • Market momentum grid – a reference grid is presented giving the historic tendency of the market to rise (fall) following a series of consecutive daily/weekly/monthly/yearly rises (falls). As before, it is found that trends become more established the longer they last, and the market displays greater momentum for longer frequencies.
  • UK and US markets – the correlation between the UK and US markets has been increasing since the 1950s, and in the years since 2010 has been stronger than ever.
  • Correlation between UK and international markets – analysis of the correlation of the UK with six overseas stock markets. Where to find diversification?
  • The Long-Term Formula – the formula that describes the long-term trend of the stock market and gives a forecast for the FTSE 100 in December 2050.

In addition to the above, analysis is updated for the standard Almanac features such as: comparative performance of UK equity indices, company ranking by financial and price behaviour criteria, price history profile of the FTSE All Share Index, sector profiles of the FTSE 100 and 250 indices, annual performance of sectors etc.

Order your copy now!

 

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