March

Seasonality Global Equity Indices

Changes since the Close of the Prior Month
March offers only a modest bullish bias for
our sample of global equity indices. The
average of the six peaks near month end, up
1.04% on Day 19.
The strongest were the NKY, up in 64% of
years by 2.02% on average, and the CAC up
1.30% and higher in 65% of years.
The IBEX was weakest, finishing the month
higher in only 42% of years and losing
0.68% on average.

5 Day Holding Periods

The charts (below) highlight the average change and instance of positive changes for the five days after
each trading day. See the tables on the bottom of page 2 for details.
The admittedly modest peak of the bullish bias is after Day 9. The average of the six indices rises in the
following 5 days in 59% of years by an average of 0.57%. The DAX has a bullish bias that grows into
month end and continues into April. The NYK has rallied in the period after Day 14 in 73% of years by
1.16% on average.
The CAC has been weak in the period after Day 4, falling in 65% of years by 0.38% on average.

Copyright 2013 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any
action based upon it. This material should not be redistributed or replicated in any form without the prior consent of Arbor. The material is
based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as
such.

Average % Changes from Previous Monthly Close

SPX
DAX
UKX
CAC
NKY
IBEX
Average

1
2
3
4
5
6
0.13 0.32 0.50 0.65 0.59 0.57
0.01 0.21 0.46 0.28 0.51 0.70
0.02 0.17 0.51 0.62 0.62 0.62
0.14 0.07 0.28 0.19 0.33 0.33
0.14 0.21 0.31 0.12 0.16 0.06
0.18 0.41 0.36 0.33 0.06 0.03
0.05 0.00 0.18 0.22 0.31 0.37

Average Cumulative % Change

7
8
9
10
11 12
0.66 0.51 0.50 0.45 0.70 0.94
0.73 0.69 0.32 0.60 0.63 0.82
0.90 0.76 0.68 0.88 1.00 1.25
0.36 0.04 0.21 0.30 0.27 0.38
0.12 0.21 0.25 0.18 0.05 0.24
0.07 0.35 0.27 0.02 0.01 0.05
0.47 0.31 0.13 0.34 0.43 0.61

August14,2013
13
0.98
0.92
1.09
0.41
0.46
0.13
0.66

14
0.89
0.69
1.15
0.38
0.86
0.14
0.69

15
16
17
18
19
20
0.90 0.77 0.75 0.93 0.91 0.69
0.84 0.54 0.64 0.89 1.06 0.91
1.45 1.00 1.00 1.18 1.19 1.12
0.70 0.13 0.51 1.05 1.30 1.27
0.97 1.07 1.25 1.60 2.02 1.93
0.18 0.33 0.10 0.05 0.24 0.68
0.84 0.53 0.67 0.93 1.04 0.87

SPX
DAX
UKX
CAC
NKY
IBEX
Average

1
63%
56%
60%
46%
55%
44%
54%

2
65%
56%
67%
58%
45%
56%
58%

3
69%
63%
70%
62%
43%
56%
60%

4
62%
56%
60%
54%
41%
56%
55%

5
59%
65%
67%
58%
36%
56%
57%

6
62%
63%
63%
62%
45%
48%
57%

% Positive Average Cumulative Change

7
8
9
10
11
12
13
63% 64% 63% 65% 66% 70% 65%
67% 65% 63% 61% 57% 65% 65%
70% 67% 63% 63% 70% 70% 63%
69% 58% 54% 54% 58% 58% 58%
41% 41% 45% 50% 59% 55% 61%
48% 41% 41% 41% 52% 56% 59%
60% 56% 55% 56% 60% 62% 62%

14
67%
57%
63%
54%
61%
56%
60%

15
67%
59%
63%
58%
59%
59%
61%

16
63%
57%
60%
58%
57%
48%
57%

17
65%
61%
60%
65%
57%
48%
59%

18
62%
63%
63%
65%
64%
44%
60%

19
66%
67%
60%
65%
64%
46%
61%

20
65%
62%
61%
67%
61%
42%
60%

Average Changes over Following 5 Trading Days

SPX
DAX
UKX
CAC
NKY
IBEX
Average

1
0.43
0.70
0.60
0.47
0.07
0.20
0.41

5 Day Holding Period Average % Change

2
3
4
5
6
7
8
9 10
11
12
13
14
15
16
17
18
19 20
0.33 0.01 0.11 0.11 0.16 0.30 0.48 0.39 0.47 0.07 0.16 0.01 0.05 0.15 0.01 0.02 0.37 0.10 0.17
0.52 0.22 0.06 0.10 0.04 0.12 0.28 0.38 0.26 0.09 0.17 0.02 0.38 0.28 0.68 0.85 0.84 1.06 1.18
0.75 0.24 0.07 0.28 0.40 0.36 0.38 0.48 0.57 0.01 0.25 0.10 0.07 0.44 0.01 0.19 0.06 0.37 0.43
0.43 0.24 0.38 0.01 0.00 0.07 0.45 0.62 0.41 0.11 0.15 0.65 0.92 0.49 1.04 0.94 0.37 0.58 0.93
0.33 0.53 0.14 0.03 0.00 0.12 0.21 1.11 1.16 1.19 1.07 1.19 1.16 0.96 0.70 0.48 0.49 0.10 0.34
0.49 0.00 0.07 0.10 0.05 0.01 0.54 0.44 0.18 0.33 0.15 0.19 0.13 0.36 0.04 0.17 0.33 0.20 0.43
0.48 0.13 0.07 0.06 0.10 0.16 0.39 0.57 0.51 0.12 0.08 0.29 0.41 0.13 0.40 0.38 0.18 0.37 0.58

SPX
DAX
UKX
CAC
NKY
IBEX
Average

1
62%
63%
63%
62%
45%
63%
60%

2
59%
56%
70%
58%
48%
52%
57%

3
53%
57%
63%
35%
52%
56%
53%

4
52%
50%
53%
35%
50%
52%
49%

5
52%
46%
57%
38%
39%
44%
46%

% Positive 5 Day Holding Period Average % Change

6
7
8
9
10
11
12
13
14
57% 62% 59% 64% 62% 52% 48% 48% 47%
50% 56% 50% 56% 52% 46% 46% 48% 52%
53% 57% 53% 53% 57% 50% 43% 53% 47%
38% 50% 50% 54% 50% 46% 50% 62% 73%
57% 57% 61% 70% 68% 66% 59% 64% 73%
41% 52% 48% 56% 41% 41% 41% 41% 56%
49% 55% 54% 59% 55% 50% 48% 53% 58%

15
51%
59%
37%
69%
64%
56%
56%

16
53%
59%
53%
69%
61%
41%
56%

17
53%
59%
50%
73%
66%
48%
58%

18
49%
61%
50%
54%
64%
48%
54%

19
56%
76%
57%
69%
64%
58%
63%

20
58%
78%
61%
71%
61%
58%
64%

Copyright 2013 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any
action based upon it. This material should not be redistributed or replicated in any form without the prior consent of Arbor. The material is
based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as
such.

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Copyright 2013 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any
action based upon it. This material should not be redistributed or replicated in any form without the prior consent of Arbor. The material is
based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as
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