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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/S&P 500 monthly switching strategy

A strategy to exploit the monthly comparative returns of the FTSE 100 and S&P 500.

Although since 1984 the S&P 500 has overall greatly outperformed the FTSE 100 (+1176% against +574%), there are months in the year when the FTSE 100 fairly consistently outperforms the S&P 500.

The first chart below shows the monthly outperformance of the FTSE 100 over the S&P 500 since 1984.

Looking first at the grey bars in the chart, this shows, for example, that on average in January the FTSE 100 has outperformed the S&P 500 by -0.4 percentage points (i.e. the UK index has underperformed the US index). From ...

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