New edition of the Almanac just published

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

The 2015 edition is packed with new research. New strategies and studies appearing in the Almanac for the first time include-

  • 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.
  • Monthly sector momentum strategy – a portfolio comprising the two worst performing sectors of the previous month, and re-balanced monthly, out-performed the FTSE 350 Index by a monthly average of 1.1%.
  • 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 250 quarterly reviews – what effect does joining or leaving the FTSE 250 Index have on company share prices?
  • MPC meetings – how does the monthly MPC announcement on interest rates affect share prices?
  • FOMC announcements – how do US and UK equities behave in the days around the periodic announcements of the policy statement of the Federal Open Market Committee?
  • 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?
  • 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?
  • US holidays and European markets – the average daily returns for the European markets when the US market is closed is 0.32%, which is 15 times greater than the daily returns on all days.
  • Friday 13th – is Friday 13th unlucky for the stock market?
  • The Market’s Decennial Cycle – can analysis of the market’s performance in the equivalent years of decades reveal any pattern of behaviour?
  • Diversification with ETFs – ranking of the 40 ETFs with the highest trading volumes by their correlation with the FTSE 100 Index.
  • Lunar calendar and the stock market – do the phases of the moon affect the stock market?
  • 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.
  • Women directors – what is the effect of female board members on company share prices?
  • FTSE index reviews – a brief survey of academic papers on the quarterly reviews of the FTSE equity indices.
  • Football and the stock market – what have academic papers got to say about the relationship between results on the field and subsequent football club share prices?
  • The Ramadan Effect – what effect does Ramadan have on stock markets in Muslim countries?
  • Weekly market returns and volatility – how weekly volatility has changed over the decades.

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The new Almanac for 2014 is released next week

The new edition of the Almanac, The UK Stock Market Almanac 2014, will be published 4 November 2013.

A previous blog post detailed all the new studies and strategies in the new 2014 edition. The 2014 Almanac also updates some of the studies of seasonality trends and anomalies that have featured in previous editions. Including-

  1. Quarterly Sector Strategy – The strongest/weakest sectors for each quarter are identified; and the Quarterly Sector Strategy continues to beat the market.
  2. 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.
  3. 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 49.4 percentage points each year since 2002.
  4. 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.
  5. Market seasonality (day/week/month) – December is still the strongest month in the year for the stock market, while September is the weakest. The greatest change from five years ago has been the fall of January from fourth to ninth in the month rankings. Analysis is also updated for weekly and daily performance of the market (Sinclair Numbers)
  6. Day of the week performance – Wednesday is the new weakest day of the week (Monday used to be), and the strongest days are Tuesday and Thursday.
  7. Market momentum – 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.
  8. 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.
  9. 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.
  10. Small Cap Stocks in January – On average small cap stocks significantly out-perform large cap stocks in January, and under-perform in October.
  11. 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).
  12. 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 of October is found to be the year’s strongest, and the weakest are those for February and November.
  13. Holidays and the market – In the last ten 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.
  14. Triple Witching – The three days around triple witching have higher volatility than other days, and the FTSE 100 Index return on triple witching days is abnormally strong.
  15. Volatility – studies have been updated for the analysis of intra-day volatility and the performance of the market following very large one-day moves.
  16. 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.
  17. 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 2063.
  18. Ultimate death cross – The last edition of the Almanac left readers on a cliffhanger as the market was about to form an ultimate death cross – find out what happened next!

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New edition of the Almanac published 4 November 2013

The new edition of the Almanac, The UK Stock Market Almanac 2014, will be published 4 November 2013.

The 2014 edition includes much new research. Studies appearing in the Almanac for the first time include-

  1. 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.
  2. Day Of The Week Strategy – a strategy is presented exploiting the day of the week anomaly that significantly out-performs the FTSE 100 Index.
  3. Monthly Share Momentum Strategy – In the previous edition of the Almanac a monthly re-balanced momentum portfolio of FTSE 100 stocks beat the market by an average of 1.1 percentage points per month. This strategy is now applied to FTSE 350 stocks and the out-performance is found to increase to 2.9 percentage points per month.
  4. Monthly Share Bounceback Strategy – This is the opposite of the above momentum strategy; in this case the 10 worst performing stocks were selected for the monthly re-balancing. This strategy not only beat the FTSE 350 Index but also beat the momentum strategy.
  5. Monthly seasonality of sectors – analysis of the monthly performance of FTSE 350 sectors reveals the strongest and weakest sectors for each month.
  6. 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.
  7. Average market behaviour by 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. This has been done for all 12 months, and an aggregate average chart for the whole year produced.
  8. Good trending shares – a system is presented for ranking high-return, low-volatility shares.
  9. Daily volatility of the stock market – is October really the most volatile month?
  10. Exxon v Shell pairs trading – analysis of the monthly comparative performance of Exxon and Shell.
  11. Correlation between UK and international markets – new analysis of the correlation of the UK with six overseas stock markets.
  12. FTSE 100 v CAC40 – analysis of the comparative monthly performance of the UK and French markets.
  13. Monthly seasonality of the Brazil market – January and October are the strongest months for the Brazilian stock market.
  14. FIFA World Cup – how does hosting and winning the World Cup affect stock markets?
  15. The Scottish Portfolio – what would an independent Scotland look like to investors? (Shh, don’t mention the banks.)
  16. Monthly seasonality of gold – February, September and November have historically been strong months for gold. And a chart of the FTSE All-Share Index priced in gold.
  17. Monthly seasonality of GBPUSD – strong months for sterling against the dollar have been April and October.

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