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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Market returns around Christmas and New Year (update)

This updates the previous analysis of the historical behaviour of the FTSE 100 Index since 1984 for the nine days around Christmas and New Year. The days studied were:

  • Days 1-3: the three trading days leading up to Christmas.
  • Days 4-6: the three trading days between Christmas and New Year.
  • Days 7-9: the first three trading days of the year.

The following chart shows the average returns for these nine days around Christmas and New Year.

FTSE 100 average daily returns around Christmas and New Year [1984-2015]

Notes:

  1. The average daily change of the FTSE100 index from 1984 for all days is 0.03%, so it can be seen that all nine days around Christmas and New Year are stronger than the average daily returns for the rest of the year.
  2. Generally, the market strength increases to the fourth day (the trading day immediately after Christmas) – this is the strongest day of the whole period, when the markets increases 83% of years since 1984 with an average return on this day of 0.47%. Although it should be noted that the standard deviation is the second highest on this day, meaning that the volatility of returns is greatest (the index actually fell 3% on this day in 1987 and 2002).
  3. The weakest day in the period is the third day of the New Year.
  4. The new year generally starts strongly on the first day, with performance trailing off the following two days.

The following chart shows the proportion of returns that are positive for each of the nine days.

FTSE 100 positive daily returns around Christmas and New Year [1984-2015]

The profile is similar to that for the average returns: the market is increasingly strong to the first day after Christmas, and then drops off after that.

To check the persistency of these results, the following chart compares the average daily returns for each day for the period 1984-2015 (i.e. as above) with the shorter period 2000-2015.

FTSE 100 average daily returns around Christmas and New Year

Broadly, the behaviour in the last 15 years has been similar to that for the longer period since 1984. The one obvious difference has been the extraordinarily strong average returns on the first trading day of the year seen since 2000.


 

Extract taken from the newly published UK Stock Market Almanac 2016.

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Market returns around Christmas and New Year

This analysis looks at the historic behaviour of the FTSE 100 Index since 1984 on the days around Christmas and New Year. The days studied were:

  • Days 1-3: the three trading days leading up to Christmas.
  • Days 4-6: the three trading days between Christmas and New Year.
  • Days 7-9: the first three trading days of the new year.

The following chart shows the average returns for these nine days around Christmas and New Year.

Average day returns around Christmas (2013) And the following chart shows the proportion of positive returns on the nine days.

Positive day returns around Christmas (2013)

Analysis

  1. The average daily change of the FTSE100 index from 1984 for all days is 0.03%; it can be seen that all nine days around Christmas and New Year have higher average returns than the average for all days.
  2. The strongest days are historically the two days leading up to Christmas and the two immediately following it.
  3. Generally, the market strength increase to the fourth day (the trading day immediately after Christmas) – this is the strongest day of the whole period, when the markets increases 81% of years since 1984 with an average rise of 0.34%. Although it should be noted that the standard deviation is the highest on this day, meaning that the volatility of returns is greatest (the index actually fell 3% on this day in 1987 and 2002).
  4. The weakest day in the period is the final trading day of the year – this is perhaps not surprising with traders closing positions for the year end.
  5. The new year generally starts strongly, but not as strong as those days of the week before.
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