ChartBrief 112 – The Stockmarket Season Is Changing

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ChartBrief 112 – The Stockmarket Season Is Changing

Following on from the popular post on the seasonal turning point for the VIX last week, here’s an insight into seasonality for the S&P500 and how 2017 is tracking YTD vs the historical seasonal pattern.  The first chart shows 2017 superimposed on the historical average and it looks like a fairly decent fit with the implication being that the next couple of months will bring a bearish bias.

The second chart shows the two series on a single axis and the same broad conclusion holds – the seasonality seems to be showing through so far, but the other thing to note is that 2017 is outpacing the historical average by a healthy margin. It could certainly continue to outpace through year end, but one interpretation would be that the average annual gain has already been banked, leaving upside in question.

 

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Eurekahedge Hedge Fund Index invest Value InvestingOdey's Brook Absolute Return Fund was up 10.25% for the third quarter, smashing the MSCI World's total return of 2.47% in sterling. In his third-quarter letter to investors, which was reviewed by ValueWalk, James Hanbury said the quarter's macro environment was not ideal for Brook Asset Management. Despite that, they saw positive contributions and alpha Read More

Activist Investors Succeed By Piling Into Stocks After A Proxy ContestThe usual caveats apply about seasonality not always working, and having a habit of breaking when you rely on it.  "Seasonality is a contributing factor, additional information, not a core thesis."

Here is the year 2017 so far superimposed over the average historical seasonal pattern. The point of superimposing it is to match up the pattern as individual years will almost always had much wider variation and volatility than the average.

For completeness here's the two series on a single axis, which brings broadly the same conclusion, but one thing to note is that 2017 is outpacing the historical average by a healthy margin, so that's something to note.

Stockmarket Season

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Topdown Charts: "chart driven macro insights" Based in Queenstown, New Zealand, Topdown Charts brings you independent research and analysis on global macro themes and trends. Topdown Charts covers multiple economies, markets, and asset classes with a distinct chart-driven focus. We are not bound by technical or fundamental dogma, and instead look to leverage any relevant factor to capture the theme. As such, here you will find some posts that are purely technical strategy, some that just cover economics and data, and some posts that use multiple inputs to tell the story and identify the opportunities. Callum Thomas Head of Research Callum is the founder of Topdown Charts. He previously worked in investment strategy and asset allocation at AMP Capital in the Multi-Asset division. Callum has a passion for global macro investing and has developed strong research and analytical expertise across economies and asset classes. Callum's approach is to utilise a blend of factors to inform the macro view.
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