An update on the strongest – and strangest – seasonality effect in the market.
When we look at historic time series of asset prices the frequencies we use tend to be day, week, month or year. But new patterns of historic behaviour might be revealed using other time frames.
In this case, we are going to split the year into two six-month periods:
The following chart compares the performance from 1982 of the FTSE All-Share index for the two periods; each bar represents the outperformance of the winter period over the following summer period. For example, from 1 Nov 2013 to 30 Apr 2014 the index rose 1.0%, while during the following period 1 May 2014 to 31 Oct 2014 ...