A previous post looked at the average cumulative stock market returns throughout the year January to December. Beyond simple mean returns, it can also be interesting to look at how the market’s daily volatility changes throughout the year.
The following chart shows the (5-day moving average of the) standard deviation of the daily returns throughout the year for the FTSE 100 Index from 1984 to 2015. In plain English: the chart plots the range of daily fluctuations of the FTSE 100 index for each trading day throughout the year.
It can be seen that the volatility of daily returns is fairly even for the first eight months of the year; it then starts to increase in September and peaks in October before trailing off fairly significantly for the remainder of the year. So, according to this study of daily returns throughout the year, October is the most volatile month.
Extract taken from the newly published The UK Stock Market Almanac 2016.
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The following chart plots the average performance of the FTSE 100 Index during July since 1984.
As can be seen, historically the market tends to rise for the first week, is flat for the following two weeks, falls in the fourth week, but then ends strongly in the final few days.
After the close on 3 June 2015 FTSE Russell confirmed the following changes to the FTSE 100 and FTSE 250 indices. The changes will be implemented at the close Friday, 19 June 2015 and take effect from the start of trading on Monday, 22 June 2015.
Joining: Aldermore Group, Auto Trader Group, B&M European Value Retail, John Laing Group, Onesavings Bank, Shawbrook Group, Wizz Air Holdings, Woodford Patient Capital
Leaving: BlackRock World Mining Trust, De La Rue, Imagination Technologies Group, Infinis Energy, Law Debenture Corp, Personal Assets Trust, RPS Group, Soco International
Next Monday will be the first trading day (FTD) of June.
Since 1984 the FTSE 100 Index has on average risen 0.21% on the June FTD, with the month’s return being positive in 55% of years.
The following chart shows the returns for every June FTD since 1984.
Tomorrow will be the last trading day (LTD) of May.
Since 1984 the market has on average risen 0.02% on the LTD of May, with positive returns in just 48% of all years, which makes it one of the weaker month LTDs in the year.
The following chart shows the FTSE 100 Index returns for every May LTD since 1984.
Tomorrow will be the last trading day (LTD) of March.
Since 1984 the market has on average risen 0.11% on the LTD of March, with positive returns in just 50% of all years, which makes it the sixth strongest LTD of any month in the year.
The following chart shows the FTSE 100 Index returns for every March LTD since 1984.
Next Monday will be the first trading day (FTD) of March.
The market has a tendency to be strong on the FTD of a month. And this effect has been even more pronounced in recent years.
However, since 1984 the FTSE 100 Index has on average fallen 0.05% on the March FTD, making it the weakest FTD of any month in the year.
The following chart shows the returns for every March FTD since 1984.
Tomorrow will be the last trading day (LTD) of February.
Since 1984 the market has on average fallen 0.06% on the LTD of February, with positive returns in just 43% of all years, which makes it the third weakest LTD of any month in the year.
The following chart shows the FTSE 100 Index returns for every February LTD since 1984.
The table below lists the 100 shares that were constituents of the original FTSE 100 Index when it started 3 January 1984.
|Allied – Lyons
||Imperial Chemical Industries
|Associated British Foods
||Imperial Cont. Gas Association
|Associated Dairies Group
||Legal & General Group
|Berisford (S. & W.)
|Blue Circle Industries
||MFI Furniture Group
||Marks & Spencer
||National Westminster Bank
|British & Commonwealth
||P & O Steam Navigation Co.
||Pearson (S.) & Son
|British Elect. Traction Co.
|British Home Stores
|Cable & Wireless
||Reckitt & Colman
|Commercial Union Assurance
|Consolidated Gold Fields
||Rio Tinto – Zinc Corporation
||Royal Bank of Scotland Group
|Edinburgh Investment Trust
||Scottish & Newcastle Breweries
|English China Clays
||Shell Trans. & Trad. Co .
||Smith & Nephew Associated Co’s.
|General Accident Fire & Life
||Standard Chartered Bank
||Standard Telephones & Cables
||Sun Alliance & London Insurance
|Globe Investment Trust
||Sun Life Assurance Society
|Great Universal Stores ‘A’
|Guardian Royal Exchange
|Guest Keen & Nettlefolds
|Hambro Life Assurance
|Hammerson Prop.Inv. & Dev. ‘A’
|Harrisons & Crossfield
|Hawker Siddeley Group
||Whitbread & Co. ‘A’
|House of Fraser
Further info on the original index.
The following chart plots the average performance of the FTSE 100 Index during February since 1984.
As can be seen, historically the market tends to rise for the first two-and-a-half weeks and then drifts lower for the rest of the month.
The following chart shows the average performance of the market in January (1984-2014) and overlays the actual performance in January 2015.
The market was unusually strong around the third week of the month, which led to its out-performance of the historic average for the month.