UK stock market average returns by calendar day of the month

The following chart plots the average daily returns for the 31 calendar days in a month for the FTSE 100 index over the period 1984-2015. For example, since 1984, the FTSE 100 index has on average increased 0.27% on the 1st day of each month.

FTSE 100 average returns by calendar day [1984-2015]

Observations

  1. The first day of each month has the highest average daily return for the FTSE 100 index. Followed closely by the second day of the month.
  2. The worst average daily return has been on the 20th of the month
  3. As can be seen in the chart, the periods of strongest daily returns occur in the first and final weeks of months.
  4. The pattern of daily returns in months divides into five (rather surprisingly precise) phases:
  • Phase 1 (1st-6th): the index sees positive daily returns
  • Phase 2 (7th-12th): the index sees negative daily returns
  • Phase 3 (13th-18th): the index sees positive daily returns
  • Phase 4 (19th-23rd): the index sees negative daily returns
  • Phase 5 (24th-31st): the index sees positive daily returns

The chart below replicates that above, but highlights the positive daily return phases of a month.

FTSE 100 average returns by calendar day [1984-2015] b

 

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FTSE 100 daily returns heatmap

This article concerns the daily returns for the FTSE 100 Index from 1984.

Average daily returns

The following table shows the average return since 1984 of the FTSE 100 Index for each day of the year. For example, over the last 31 years the average daily return for the FTSE 100 Index on 2 January has been 0.37%.

In the table, positive average daily returns are coloured green, while negative average returns are coloured red. Daily returns are highlighted dark green (red) for large positive (negative) returns. (See below for the definition of large.)

Average daily returns heatmap - FTSE 100

Observations:

  1. The periods of greatest relative strength for daily returns (i.e. clusters of dark green cells in the table) would appear to be the first couple of days of each month, and the second part of December.
  2. Conversely, the period of greatest relative weakness for daily returns (i.e. clusters of dark red cells in the table) would appear to be the five-days of 20th to 24th of each month (except December).
  3. The day of the month with the greatest number of large positive returns is the 1st; while the greatest number of large negative returns is the 22nd.

Positive daily returns

The following chart is similar to the above, except this shows the proportion of positive returns for each day of the year. For example, since 1984 56% of the FTSE 100 Index returns on 2 January have been positive.

Positive daily returns heatmap - FTSE 100

Definition of large

Values are highlighted as large if they are more than 1 standard deviation from the average. For example, for the daily returns in the first chart the average daily return (for all days) is 0.03% and the standard deviation 0.24, so values are highlighted if they are above 0.27% (0.03 + 0.24) or below -0.21% (0.03 – 0.24).


Other daily return heatmaps.

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First trading day of July

Next Monday will be the first trading day (FTD) of July.

As explained in the 2013 edition of the Almanac, 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.

Along with April, the July FTD has been the strongest FTD of all 12 months: since 1984 the FTSE 100 Index has increased on average 0.44% on this day.

Although from 2000 the average return on the day has been weaker at 0.21%.

The following chart shows the returns for every July FTD since 1984.

FTSE 100 Index, first trading day of June

 

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Average market behaviour in March

The following chart plots the average performance of the FTSE 100 Index during March since 1984 (more info on this type of chart).

The chart shows that on average the UK market climbs for the first three weeks of the month and then falls back towards the end of the month.


 February 2013

The average chart for February was posted a month ago here. The following reproduces that chart and overlays the actual FTSE 100 for February 2013.

FTSE 100 average chart for February

Despite the excitement of the UK losing its AAA rating and the Italian election, the month was pretty average from a historic viewpoint. The index reached the month’s high on the 14th trading day of the month (historically the high has been reached on the 12th trading day), and then came off slightly to end up 1.3% on the month (historically the index has risen 1.2% in February.)

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First trading day of March

Tomorrow, Friday 1 March, will be the first trading day (FTD) of March.

As explained in the 2013 edition of the Almanac, 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.

The March FTD has been one of the weaker ones of any month in the year. Since 1984 the average return on the March FTD has been -0.02%, and the market has risen in 57% of years. Since 2000 the average return has been 0.02%

The following chart shows the returns for every March FTD since 1984.
First Trading Day of March (1984-2012)

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