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.
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.
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.
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.
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.
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.
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.
Further articles on the Day of the Week Effect.