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

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

The data below represents seasonality traits for the month of January. The 1st section covers a general observations about the previous month whilst the 2nd makes observations about the current month. The 3rd section shows 25 years of January 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 MONTH
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%.

2. JANUARY GENERAL OBSERVATIONS
The month of January is historically the fifth most powerful month on the JSE with an average gain of 1.39%. However its Sharpe ratio of 0.2 tells us that it is characterised by fluctuations  between large positive months and poor negative months as opposed to consistent gains. January has the 5th best win rate with 62.5% positive months over the last 25 years.  The 5 and 10-year rolling average gains from January track each other closely and have waned somewhat in the last 4 years to both measure virtually zero.

January is a tale of two contrasting halves however, with the bulk of gains coming from the 1st half and a poor negative 2nd half. The 1st half of January is historically the strongest 1st half out of all the other 11 months and is in fact the strongest half-month period in the whole year. 
The behaviour of the 1st half has been a "relatively" persistent  trend over time with a Sharpe ratio of 0.45 and a win-rate of 66.7%. In the last 5 years however, average returns for the 1st half have declined somewhat due to deeply negative returns for 2008 (-4%) and 2009 (-5%).

The 2nd half of January is historically a poor period showing -0.55% average return and only a 41.7% positive rate (the lowest of all the 2nd-half periods). The poor returns trend for the 2nd half of January has been fairly consistent with most years showing losses, punctuated by the odd positive year where large 5% to 10% gains have been posted.

To summarise,
January is a month of extremes, showing the strongest 1st half and the poorest 2nd half of all the months. December, with its powerful 2nd half, coupled with January, with its incredibly powerful first half, are a manifestation of the so-called "Turn of the year" seasonal effect.

Statistically, the best period for January is from the 2nd to the 10th, or the nearest trading days before these dates if they fall on weekends/holidays. This is slightly shorter than the 1st half of January which typically ends on 15th/16th of the month. We have dubbed this the "NEW YEAR RALLY". This has a win rate of 75% and a high statistical confidence with Sharpe 0.60. It is worth punting a few geared TOP40 warrants or SSF's over this period.

The best performing day for January is Thursday (53.4% win ratio) and the worst is Friday (with a 49% win ratio). Friday is also the worst performing day overall on the JSE over 25 years, contrary to trends on U.S markets.

Most of the findings for January 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


4. JANUARY (WHOLE MONTH)


5. JANUARY (FIRST HALF OF THE MONTH)


6. JANUARY (SECOND HALF OF THE MONTH)


7. JANUARY (STATISTICALLY BEST PORTION OF THE MONTH) "NEW YEAR RALLY"


8. JANUARY DAY OF THE WEEK ANALYSIS


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