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The UK Stock Market Almanac 2016: Seasonality analysis and studies of market anomalies to give you an edge in the year ahead by Stephen Eckett

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The FTSE 100/250 monthly switching strategy

Analysis of the historic data shows that although the FTSE 250 has greatly outperformed the FTSE 100 in the long term (since 2000 the FTSE 100 has fallen 3% compared with an increase of 174% for the FTSE 250), there are certain months for which the large-cap index on average outperforms the mid-cap index.

The previous edition of the Almanac presented a strategy that exploited this feature; this page updates the performance of the strategy in the last year.

The following chart shows the average outperformance of the FTSE 100 over the FTSE 250 by month for the period 2000-2015. For example, on average the FTSE 100 has outperformed the FTSE 250 by -2.0 percentage points in January since year 2000.

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