Every quarter the FTSE set of indices incl. Elsewhere we have looked at the impact on the share prices of companies entering or leaving the FTSE Index, here we look at the FTSE Index.

The time period for each chart is 30 trading days, starting from 15 days before the index review announcement. The vertical line in each chart indicates the announcement day of the company leaving the index this is the date under the company name. It can be seen that, in most cases, the share price falls quite sharply in some cases in the few days immediately before the index review announcement, then rises in the few days following the announcement, and then falls again five or six days after the announcement.

The charts below show the share price behaviour of nine companies that joined the FTSE Index promoted from the FTSE Small Cap Index, not relegated from the FTSE Index. As above, the time period for each chart is 30 trading days, starting from 15 days before the index review announcement. The vertical line in each chart indicates the announcement day of the company joining the index this is the date under the company name.

It can be seen that, in most cases, the share price rises in the six to ten days before the announcement; following which the price either trades flat or falls back. Extract taken from T he UK Stock Market Almanac Order your copy of the new edition now! The FTSE Index was launched on 12 Octoberbut the base date for the index was 31 December Other articles about the FTSE Index. A previous article looked at a comparison of the monthly performance the FTSE v FTSE indices.

In this article we will look at taking the results of that study to create a trading strategy. We will look at a strategy that exploits this feature. The following reproduces the chart showing the monthly out-performance of the FTSE over the FTSE Indices. For example, in Januaries since the FTSE has on average out-performed the FTSE by As can be seen, there are only two months, September and October, in which the FTSE convincingly out-performs the FTSE The above results suggest a strategy of investing in the FTSE for the year but switching into the FTSE for just the two-month period September-October.

In other words, the portfolio would be invested in the FTSE from January to August, at the end of August it switches out of the FTSE and into the FTSE for two months, then back into the FTSE until the end of August the following year.

The following chart shows the result of operating such a strategy from For comparison, the chart also includes the portfolio returns from continuous investments in the base FTSE and FTSE These figures do not include transaction costs, but these would not be significant as the strategy only requires trading twice a year.

Recently we have looked at the monthly seasonalities of the FTSE and FTSE Indices. Here, we will look at the comparative monthly performance of the FTSE Index against the FTSE Index. The following table shows the out-performance of the FTSE over the FTSE for every month since the year of introduction of the latter index.

For example, in January the FTSE month return was 1. As can be quite clearly seen the FTSE has been strong relative to the FTSE for the three months January to March. This can also be seen in the chart below which shows the average FTSE out-performance of the FTSE for each of the 12 months since For example, on average in January the FTSE has under-performed the FTSE Index by 1.

This average comparative chart shows that the FTSE has been significantly strong relative to the FTSE Index January-March, and relatively weak September-October. The following table shows the month returns for the FTSE Index for every month since the index was introduced in For example, in January the FTSE Index rose 9. Negative month returns have been highlighted with a blue cell background. A quick glance at the above chart suggests that strong months for the FTSE Index have been February, April and December; while weak months have been June and September.

These observations are supported by the chart below which shows the average month returns for each month From this chart we can see the FTSE Index has historically been strong the five consecutive months December-April. Its weakest month is September an average month return of A brief overview of the range of indices that FTSE International FTSE have created to measure the equity markets in the UK.

The FT30 Index was first calculated in by the Financial Times newspaper. The Index started at a base level ofand was calculated from a subjective collection of 30 major companies — which in the early years were concentrated in the industrial and retailing sectors. For a long time the Index was the best known performance measure of the UK stock market.

But the index become less representative of the whole market. Also the index was price-weighted like the DJIAand not market-capitalisation-weighted. Although the index was calculated every cakephp form select default empty, the increasing sophistication of the market needed an index calculated every minute and so the FT30 has been usurped by the FTSE It is market capitalisation weighted and the composition of the index is reviewed every three months.

The FTSE is commonly used as the basis for investment funds and derivatives. The index was first calculated on 3 Stock market anomalies january effect with a base value of Coffee futures options trading hours FTSE Index, and all the FTSE indices, are calculated by FTSE International — which started life as a joint venture between the Financial Times newspaper and monetary policy and its impact on stock market liquidity evidence from the euro zone London Stock Exchange, but is now wholly owned by commodity brokerage futures brokers LSE.

Similar in construction to the FTSE, except this index comprises the next highest capitalised stocks listed on the LSE after the top Comprised of companies with a market capitalisation below the FTSEbut above a fixed limit.

This lower limit is periodically reviewed. Consequently the FTSE Small Cap Index does not have a fixed number of constituents.

The FTSE All-Share is the aggregation of the FTSEFTSE and FTSE Small Cap indices. Effectively all those LSE listed companies with a market capitalisation above the lower limit for inclusion in the FTSE Small Cap Index.

This index comprises the companies that do not meet the minimum size requirement of the FTSE Small Cap Index and are therefore outside of the FTSE All-Share Index. In mid there were companies in the FTSE Fledgling Index. You have reached 0 of 0 points, 0.

When the sun shines do you find yourself hovering over the trading screen enthusiastically adding stocks to your portfolio? Or windows update optional updates cloudy days when the rain beats against the window do you sit morosely at your desk, your finger stabbing at the sell button? Two academic papers seem to think this is how you behave. Make money selling other people's products even claimed it was possible after trading costs to trade profitably on the weather.

A second paper [2]published infound that the sunshine effect was stronger for stock exchanges further away from the equator e. The chart below plots daily sun hours at Heathrow against the FTSE Index return on the same day.

At first glance, you might think that the chart shows no correlation between the two series i. Even second or third glances will not reveal any positive correlation. In fact, if you look very closely and squint, you may even see a negative uk bond market holidays 2016 — which is not at all what we want.

We should have stopped there. But we were motivated to find some correlation.

Perhaps the effect does not exist for the FTSE Index which, after all, is heavily influenced by foreign investors, who are trading from their pools in the Caribbean or skyscrapers in Shanghai and who are unlikely to be affected greatly by how sunny it is in Orpington.

So, we looked at sun hours and the FTSE Index — an index more closely reflecting UK Bollinger bands pin bar and possibly attracting more domestic investors. Perhaps the effect really displays itself for smaller stocks? We drafted in the FTSE Small Cap Index. The AIM market — home of optimistic punters with a sunny disposition. Surely, the sunshine effect will reveal itself there?

We calculated the average daily sun hours for the winter and summer periods, and then adjusted the daily sun hours data by calculating the daily divergence of sun hours from their seasonal average. After all, just two hours of sunshine in the winter could be considered a sunny day. That should do it. We limited the analysis to just those days with extremes of sunshine i.

Perhaps the change in sun hours from one day to the next would work? In other words, australian dollar exchange rate prediction effect would kick in when a sunny day followed a cloudy day, or vice versa.

In desperation to rescue something from all the research, we looked at sun hours against daily trading volumes. Well, finally, on this one…….

At the end of everything the best we could do was the chart below — the FTSE Index plotted against the change in sun hours from the previous day. Hardly much of an improvement on the first chart — still just a random mass of uncorrelated dots. Our data covered the periodwhile the first academic paper looked at data for the period Possibly the effect has changed in the intervening years. But if vic noble forex scalping course academic papers are right, and the sunshine effect does forex 50 retracement, this would seem to conflict with the strongest seasonality effect in the market — whereby the market in the dark winter months out-performs the sunny summer months.

Stock returns and the weather. The Journal of Finance 58 3. A meta-analysis of the international evidence of cloud cover on stock returns. Review of Accounting and Finance 6 3. As can be seen there is very little correlation. Changes in GBPUSD have no consistent influence on the FTSE Index on a monthly basis. This is not period-dependent, a chart for the more recent period is little different.

The following chart is similar, except instead of the FTSE it plots the FTSE Index against GBPUSD this time for the period The following chart shows the returns on a range of international stock markets and commodities in The following chart shows a sample of currency moves against the British pound in the year.

For example, the British pound increased The following chart shows the returns on the same range of markets shown above, but this time in sterling terms i. The UK Stock Market Almanac Seasonality analysis and studies of market anomalies to give you an edge in the year ahead.

Skip to primary content. Skip to secondary content. Posted on 26 November by Almanacist. Posted on 9 July by Almanacist. The following table shows the month-end and year-end values of the FTSE Index. See also Other articles about the FTSE Index. Posted on 25 June by Almanacist. Posted on 14 May by Almanacist.

Posted on 24 April by Almanacist. See also Further articles on the FTSE Index. Posted on 17 April by Almanacist. FT Ordinary Share Index FT30 The FT30 Index was first calculated in by the Financial Times newspaper.

Articles on the FT30 Index. Articles on the FTSE Index. FTSE Similar in construction to the FTSE, except this index comprises the next highest capitalised stocks listed on the LSE after the top FTSE The FTSE is simply an index comprising all the stocks in the FTSE and FTSE indices. Articles on FTSE Index. FTSE Small Cap Comprised of companies with a market capitalisation below the FTSEbut above a fixed limit.

Articles on FTSE Small Cap Index. FTSE All-Share The FTSE All-Share is the aggregation of the FTSEFTSE and FTSE Small Cap indices. Articles on the FTSE All Share Index. FTSE Fledgling This index comprises the companies that do not meet the minimum size requirement of the FTSE Small Cap Index and are therefore outside of the FTSE All-Share Index.

Articles on FTSE Fledgling Index. FTSE All-Small Index This consists of all the companies in the FTSE Small Cap and FTSE Fledgling indices. FTSE TMT Reflects the performance of companies in the Technology, Media and Telecommunications sectors.

FTSE AIM UK 50 Index Comprises the 50 largest UK companies quoted on the Alternative Investment Market AIM. FTSE AIM Index Comprises the largest companies quoted on the Alternative Investment Market AIM. FTSE AIM All-Share Index All AIM-quoted companies.

Posted on 17 January by Almanacist.

Investor Home - Calendar Anomalies

Quiz-summary 0 of 5 questions completed Questions: Five questions to test your knowledge of the FTSE Index. You have already completed the quiz before. Hence you can not start it again.

7 Market Anomalies Investors Should Know

You must sign in or sign up to start the quiz. You have to finish following quiz, to start this quiz: Results 0 of 5 questions answered correctly Your time: Question 1 of 5.

The FTSE Index can be said to be an index of: Question 2 of 5. The FTSE Index comprises what proportion of the total UK equity market capitalisation? Question 3 of 5. The median market capitalisation of FTSE companies is: Question 4 of 5. The two largest sectors in the FTSE by market capitalisation are: Question 5 of 5. The average turnover of companies in the FTSE is: Posted on 25 September by Almanacist.

This seemed a fun and easy topic to study, so we dived in.

Market Anomalies Fail to Replicate - Marginal REVOLUTION

So, on we went. Summary So, who is wrong, the papers or our research? Tricky thing, the market. Posted on 12 February by Almanacist.

Do changes in the exchange rate affect UK equities? Again, as with the FTSE Index, there is negligible correlation. Posted on 3 January by Almanacist. Equity and commodity markets The following chart shows the returns on a range of international stock markets and commodities in The FTSE was ranked 22 out of the 25 markets appearing here.

Currency markets The following chart shows a sample of currency moves against the British pound in the year. Notes- The German market remains the strongest forwith its returns reduced from A big difference is the return for the Nikkei Index in sterling terms — falling from In sterling terms the FTSE climbs from 22nd position to 15th. And in sterling terms the FTSE Index climbs to 2nd position. Search Almanac RRP: Download a PDF sample from the Almanac DOWNLOAD.

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