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-
- 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.
- Day Of The Week Strategy – a strategy is presented exploiting the day of the week anomaly that significantly out-performs the FTSE 100 Index.
- 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.
- 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.
- Monthly seasonality of sectors – analysis of the monthly performance of FTSE 350 sectors reveals the strongest and weakest sectors for each month.
- 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.
- 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.
- Good trending shares – a system is presented for ranking high-return, low-volatility shares.
- Daily volatility of the stock market – is October really the most volatile month?
- Exxon v Shell pairs trading – analysis of the monthly comparative performance of Exxon and Shell.
- Correlation between UK and international markets – new analysis of the correlation of the UK with six overseas stock markets.
- FTSE 100 v CAC40 – analysis of the comparative monthly performance of the UK and French markets.
- Monthly seasonality of the Brazil market – January and October are the strongest months for the Brazilian stock market.
- FIFA World Cup – how does hosting and winning the World Cup affect stock markets?
- The Scottish Portfolio – what would an independent Scotland look like to investors? (Shh, don’t mention the banks.)
- 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.
- Monthly seasonality of GBPUSD – strong months for sterling against the dollar have been April and October.