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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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Monthly seasonality of the FTSE 100

A table of the monthly seasonality of the FTSE 100 can be seen in the Statistics section (page 115). The table below contains the same values as the other table, except this one adds a fourth column (the product of the Positive and Average Return values). The table is ordered by this fourth column to create a revised ranking of monthly performance of the market. Instead of just looking at the number of positive returns in a month this new ranking also adds in the factor of average return and so is slightly more sophisticated.

Month

Positive(%)

Avg Rtn (%)

Std Dev

Positive x Avg Rtn

December

84

2.3

3.0

2.0

April

71

1.8

3.4

1.3

February

61

1.1

3.9

0.7 ...

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