RELATED TOPICS   -->  | How to use and interpret the SATC data | Sell in May and go away |
                                           |
Coupling Seasonality with Market Timing  |

ADJACENT MONTHS-->| January | February | March       | April       | May          | June        |
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The data below represents seasonality traits for the month of February. The 1st section covers  general observations about the previous month whilst the 2nd makes observations about the current month. The 3rd section shows 25 years of February JSE growth compared to the other months. The 4th section covers historical data for the whole month from the first trading day to the last. The 5th section covers the first half of the month, from the first trading day to the exact midpoint of the month to ensure an equal distribution of trading days between the two halves. The 6th section covers the second half of the month. The 7th section covers the best performing period of the month and the 8th section covers the best week-days of the month.

NOTE : It is recommended you read the "How to use and interpret SATC" tutorial in the RELATED TOPICS link to get the most out of the charts.

1. OBSERVATIONS ABOUT PREVIOUS MONTHS
DECEMBER : December 2009 behaved exactly as the SATC historical record forecasted. The month was up 2.86% against the 25-year average of 2.83%. The first half gained 0.75% against a 25-year average of 0.9%, whilst the second half gained 2.1% against a 25-year average of 1.81%.

JANUARY : January 2010 behaved as the SATC historical record forecasted, namely a much better first half than the second half, a very poor and negative 2nd half and an excellent gain for the 1st to the 10th "New Years Rally".  The month was down 3.31% against the 25-year average of 1.35% gain which bucked the seasonal trend though. The first half gained 0.95% against a 25-year average of 2.08%, whilst the second half lost 4.22%% against a 25-year average loss of 0.55%. The best part of the month, forecast to be from the 1st to the 10th, gained 2.46% against the historical record of 2.02% All in all a very satisfactory outcome for SATC forecasting.

We exploited the December "Xmas Rally" (14-31st) and the January "New Years Rally" (1st-8th as the 10th fell on a Sunday) rather nicely for a 27.4% gain as shown below:



2. FEBRUARY GENERAL OBSERVATIONS
The month of February is historically the 3rd weakest month on the JSE with an average gain of 0.25%. However its very low Sharpe ratio of 0.06 tells us that it is characterised by annual fluctuations  between positive months and negative months as opposed to consistent trends. February has delivered 45.8% positive months over the last 25 years.  The 5 and 10-year rolling average gains from February show the average gaining over 5 year periods and declining over rolling 10 year periods however the yearly volatility means we can't read too much into this.

February is a tale of two halves however, with the bulk of gains coming from the 1st half and a very small gain for the 2nd half. Again, the Sharpe ratios for these two periods are small meaning there are fluctuations from year to year which mean little trending can be derived from the figures. The 2nd half's performance is very skewed by 2008 where it showed a huge -10.58% loss.

Statistically, the best period for February is from the 1st to the 9th, or the nearest trading days before these dates if they fall on weekends/holidays. This is slightly shorter than the 1st half of February which typically ends on 13/14th of the month. We have dubbed this the "VALENTINES' RALLY" which averaged 1.04% growth. This periods' returns started strong in 1989 and has been consistently positive but steadily waning since then. It made huge 8.84% gains in 2009. For 2006, 2007 and 2008 however, this period posted a string of small losses. This period has an overall win rate of 62.5% and a "reasonable" Sharpe of 0.37.

The worst period for February is the 10th-14th (generally the 2nd week) which posted an average 0.79% in losses with a Sharpe of 0.29 ("reasonably consistent") This period has a loss ratio 0f 62.5% (a win ratio of 37.5%).

The best performing day for February, like January is Thursday. However the Thursday for February has a surprising statistical persistance with an amazing 62.5% win ratio (most months average just over 50%). It also has a very high Sharpe for daily statistics of 0.3 (most strong days are 0.1 to 0.2). The worst trading day is Tuesday. Only Thursday and Friday averaged positive gains over the 25 year period.

Most of the findings for SATC for the JSE listed above correlate very closely to a 90-year study conducted on the Dow Jones Industrial index by Josef Lakonishok and Seymour Smidt in 1988. But the JSE has its own seasonal anomalies that differ from the US markets as well.
 
3. ALL THE MONTHS OF THE YEAR


4. FEBRUARY (WHOLE MONTH)


5. FEBRUARY (FIRST HALF OF THE MONTH)


6. FEBRUARY (SECOND HALF OF THE MONTH)


7. FEBRUARY (STATISTICALLY BEST PORTION OF THE MONTH) "VALENTINE'S RALLY"


8. FEBRUARY DAY-OF-THE-WEEK ANALYSIS


RELATED TOPICS   -->  | How to use and interpret the SATC data | Sell in May and go away |
                                           |
Coupling Seasonality with Market Timing  |

ADJACENT MONTHS-->| January | February | March       | April       | May          | June        |
                                 | July
      | August    | September |
October  | November  | December |
 
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