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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Day of the week grid

We have previously looked at data to see if there are any discernible patterns in market returns by day of the week. The following table presents another way of studying this.

The table shows the daily returns of the FTSE 100 Index for every day so far in 2016 (up to last Friday, 28 Oct). Positive returns are highlighted in green, negative returns in red. (White cells indicate a market holiday.)

Day of the week grid [2016 wk43]

Observations:

  1. So far in 2016 the longest run of positive (or negative) returns for a day started in the 10th week of the year when day returns for eight consecutive Wednesdays were positive.
  2. For 11 weeks, the day returns on Fridays were the opposite sign to that on the previous day (Thursday). This run ended last Friday (when both Thursday and Friday saw positive returns).

Other articles looking at returns on days of the week.

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Days of the week

We last looked at the performance of the FTSE 100 Index on the days of the week in September 2014. Time to see if anything has changed.

Longer-term analysis

First, to review how the Index has performed on the different days of the week over a range of periods.

The following chart shows the average returns of the FTSE 100 Index for the five days of the week over the periods 1984-2016, 2000-2016 and 2012-2016. For example, since 1984 the Index has fallen by an average 0.025% on Mondays.

Day of the week performance of FTSE 100 - average return

Broadly, a similar profile of behaviour can be seen over the three periods. Namely, the Index is weak on Mondays and Wednesdays and relatively strong on Tuesdays, Thursdays and Fridays. The weakest day is obviously Monday, while the strongest day is Tuesday (this profile has been particularly strong in the last four years).

It can be observed that the strength of the market on Fridays has been steadily declining in the three periods shown here.

The following chart is similar to the above except instead of average returns it show the proportion of days seeing positive returns. For example, since 1984 the Index has risen on 49.7% of Mondays.

Day of the week performance of FTSE 100 - positive

The profile seen here is similar to that seen in the first chart. The weak day again is Monday, although here Thursday is relatively stronger.

So, that’s the longer term, let’s look now at the behaviour so far in 2016.

2016

The following chart shows the average returns of the FTSE 100 Index for the five days of the week over the period Jan-May 2016.

Day of the week performance of FTSE 100 [2016] - average return

As for the longer term, Mondays are still weak. However, previously strong Thursday is now the weakest day of the week. So far this year it is Friday that has seen the highest average day returns.

The following chart shows the proportion of positive return days for each day of the week.

Day of the week performance of FTSE 100 [2016] - positive

This chart reinforces the observation that Mondays and Thursdays have been weak so far in 2016. But the day with the most positive day returns has been Wednesday - which arguably can allow it to claim the strongest day of the week crown so far in 2016.

The following chart shows the cumulative performance of the Index for each respective day of the week. For example, the FTSE 100 Index has a cumulative return of 6.6% for all Fridays so far in 2016.

Cumulative performance of FTSE 100 by day of the week [Jan-May 2016]


Further articles on the Day of the Week Effect.

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What’s so special about Tuesday?

The following chart shows the average returns of the FTSE 100 Index for each day of the week since 1984. For example, since 1984 the average return of the index on Monday has been -0.01%, while for Tuesday it has been 0.06%.

Day of the week (1984-2014)But the above analysis is over a long period and the return characteristics of the five days changes somewhat over time. For example, the following chart shows the average returns of the FTSE 100 Index for each day of the week for the calendar year so far.

Day of the week (Jan-Aug 2014)This has the rather odd result that the only day with a positive return in 2014 so far has been Tuesday by a large margin – on average the the market has fallen on the four other days.

The following chart plots the cumulative returns for each of the five days of the week for the first eight months of the year.

Day of the week (Jan-Aug 2014)_cumulative

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Large market falls and days of the week

Do large falls in the market tend to happen on certain days of the week?

FTSE 100 (1984-2013)

The following chart shows the frequency distribution by day of the week for the 100 largest daily falls in the FTSE 100 Index over the period 1984-2013.

FREQUENCY DISTRIBUTION OF THE 100 LARGEST DAY FALLS IN FTSE 100 (1984-2013)Out of the 100 worst daily falls, 27 occurred on a Monday, making it the most common day for large falls. After Monday, Thursday saw the greatest number of large falls.

FTSE All-Share Index  (1969-2013)

The following chart looks at the weekday distribution of large falls over a longer period (1969-2013) for the FTSE All-Share Index.

FREQUENCY DISTRIBUTION OF 100 LARGEST DAY FALLS IN FTSE ALL-SHARE (1969-2013)Again, Monday saw the greatest number of large falls; in fact the number of large falls on Monday is greater here (at 30) than for the precious test.

S&P 500 Index (1950-2013)

Obviously, the UK market follows the US market, especially for large market moves. So, it is interesting to look at what happens in the US market.

The following chart shows the frequency distribution by day of the week for the 100 largest daily falls in the S&P 500 Index over the period 1950-2013.

FREQUENCY DISTRIBUTION OF 100 LARGEST DAY FALLS IN S&P 500 (1950-2013)Again, we see that Monday was the most common day for large market falls.

  • 35 of the 100 largest falls in the S&P 500 since 1950 occurred on a Monday.
  • 6 of the 8 largest falls in the index since 1950 occurred on Mondays.
  • The largest daily fall in the S&P 500 Index since 1950 was a 19 October 1987 (a Monday).

Other articles on day of the week anomalies.

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Tuesdays are now the strongest day of the week

Earlier this year the Dow Jones Industrial Average rose on 20 consecutive Tuesdays – an unprecedented streak since records began.

A little earlier in the year the FTSE 100 Index rose for 10 consecutive Fridays. Not as remarkable as the Dow streak perhaps, but still impressive.

The following chart shows the average positive returns for the FTSE 100 Index for the five days of the trading week since the index was started in 1984.

Monday to Friday FTSE 100 performance

Since the 1984 the strongest day of the week has been Friday; the FTSE 100 Index has had a positive return on 55% of all Fridays. The weakest day has been Monday, the FTSE 100 Index has had a positive return on 50% of Mondays.

For comparison, the following chart shows the same data but just for the period of the first six months of 2013.

The relative strengths of the days for the first half of 2013 is similar to that since 1984; for example, Monday is still the weakest day. However, Tuesday has overtaken Friday as the strongest day of the weak; the market has risen 69% of all Tuesdays in 1H 2013.

The strength of Tuesday in 1H 2013 can be seen even more in the following chart which plots the average return of the FTSE 100 Index on the five trading days of the week.

In 1H 2013 the average index return for Tuesday was 0.4%, compared with just 0.13% for Friday (and negative for all other days of the week).

 

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