The UK Stock Market Almanac 2014 has two components:
A). Almanac studies and strategies
The 2014 edition of the Almanac features over 30 studies of seasonality trends and market anomalies with strategies outlined to exploit them. Some highlights include:
- Bounceback stocks – The Bounceback Strategy (buying last year’s dog stocks) continues to perform well, out-performing the market every year since 2002.
- Six-month effect – The six-month strategy exploits the most remarkable seasonal trend in the market and continues to beat the market. In this year’s Almanac the strategy is enhanced by using the MACD indicator. NEW
- FTSE 100 and S&P 500 switching strategy – The strong/weak months for the FTSE 100 Index relative to the S&P 500 Index are identified; and a strategy of switching between the two markets is found that produces twice the returns than either market individually. NEW
- Quarterly sector performance – The strongest/weakest sectors for each quarter are identified; and the Quarterly Sector Strategy continues to beat the market.
- Low vs high share prices – A portfolio of the 20 lowest priced shares in the market has out-performed a portfolio of the 20 highest priced shares by an average 57 percentage points each year since 2002. NEW
- FTSE 100 Index quarterly reviews – As before, it is found that share prices tend to rise immediately before a company joins the index and are then flat or fall back; and that share prices tend to fall in the period before a company leaves the index and then rise afterwards.
- Tuesday corrects Monday – Since year 2000 market returns on Tuesdays have been the reverse of those on Monday. A strategy using this effect has significantly out-performed the FTSE 100 Index over this period. NEW
- Monthly share momentum – A rolling portfolio of the 10 top performing stocks the previous month beats the market each month by an average of 1.1 percentage points. NEW
- Holidays and the market – In the last ten years the market has been significantly strong on the days immediately before and after holidays and weak fours days before and three days after holidays. NEW
- Small Cap Stocks in January – On average small cap stocks significantly out-perform large cap stocks in January, and under-perform in October. NEW
- FTSE 100 and FTSE 250 indices – The FTSE 100 Index greatly under-performs the mid-cap index in January and February and out-performs it in September and October.
- Turn of the month – The market tends to be weak a few days either side of the turn of the month, but abnormally strong on the first trading of the new month (except December). NEW
- Defensive stocks – 10 stocks are identified that have performed best during the 10 worst monthly falls in the market since 2002. NEW
B). Traders Diary
A specialised diary customized for investors and traders includes-
- Significant dates for seasonality trends and anomalies
- Key financial markets dates (e.g. FTSE 100 quarterly reviews, triple witching days, MPC meetings)
- Daily, weekly and monthly market probability statistics
- Dates of company results announcements