04/30/2014

May Seasonality Major Currency Pairs

Changes since the Close of the Prior Month
Seasonal trends in May were widely dispersed but
leaned bearish for our selection of major currency
pairs. Dollar strength after day 7 appears in several
of the pairs in our sample. Four of the seven pairs
were lower MTD at day 20.
The weakest pairs were EURJPY, 0.8% by day 20,
EURUSD, 0.78% by day 18, and GBPUSD, 0.63% by
day 18.
USDNOK turned in the strongest performance, rising
0.74% on average by day 18.

5 Day Holding Periods

Dollar strength led to rallies after day 7 for several pairs. USDJPY rose after day 7 in 65% of years since 1971 by an
average of 0.33%. USDNOK rose following day 7 in 60% of years since 1971, gaining 0.52% on average.
The same tendency toward dollar strength drove the EURUSD and AUDUSD lower after day 7. EURUSD fell during
that interval in 67% of years, declining 0.55% on average. AUDUSD also tended to fall in the same period,
declining in 70% of years by 0.54% on average.
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.

Copyright 2014 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

EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK


EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK

Average Cumulative % Change

1
2
3
4
5
6
7
8
9
10
11
12
13
0.01 0.15 0.06 0.01 0.19 0.15 0.12 0.23 0.34 0.43 0.59 0.66 0.57
0.07 0.09 0.03 0.02 0.19 0.23 0.32 0.31 0.47 0.33 0.40 0.50 0.55
0.11 0.07 0.10 0.32 0.28 0.23 0.38 0.41 0.29 0.24 0.15 0.04 0.03
0.06 0.15 0.17 0.17 0.16 0.16 0.24 0.21 0.05 0.08 0.29 0.29 0.39
0.05 0.02 0.07 0.09 0.07 0.09 0.08 0.08 0.12 0.21 0.23 0.13 0.11
0.14 0.01 0.05 0.25 0.26 0.30 0.35 0.40 0.51 0.48 0.53 0.47 0.53
0.04 0.05 0.00 0.06 0.19 0.03 0.03 0.21 0.32 0.33 0.51 0.56 0.69













% Positive Average Cumulative % Change
1
2
3
4
5
6
7
8
9
10
11
12
13
51% 41% 54% 62% 49% 38% 46% 41% 46% 46% 41% 38% 41%
42% 42% 53% 56% 37% 35% 35% 42% 42% 40% 44% 35% 40%
51% 53% 40% 28% 42% 49% 40% 42% 44% 42% 49% 53% 49%
35% 35% 53% 58% 53% 49% 51% 44% 47% 47% 47% 42% 40%
47% 53% 56% 51% 51% 58% 58% 53% 65% 63% 65% 58% 60%
61% 39% 54% 64% 54% 50% 46% 50% 43% 57% 50% 54% 50%
42% 47% 37% 37% 42% 44% 40% 44% 49% 44% 49% 49% 56%

August14,2013
14
0.49
0.39
0.14
0.35
0.08
0.53
0.57

14
44%
30%
49%
35%
58%
46%
56%

15
16
17
0.65 0.71 0.77
0.45 0.59 0.57
0.16 0.06 0.13
0.23 0.48 0.49
0.07 0.14 0.22
0.68 0.61 0.82
0.57 0.65 0.72

18
0.78
0.63
0.00
0.56
0.25
0.96
0.74

19
0.66
0.49
0.15
0.49
0.25
0.87
0.63

20
0.73
0.48
0.04
0.44
0.20
0.80
0.50

17
44%
37%
42%
37%
58%
54%
51%

18
33%
42%
47%
40%
63%
50%
53%

19
41%
33%
47%
40%
65%
46%
53%

20
45%
35%
44%
37%
65%
54%
53%

15
16
17
0.12 0.09 0.04
0.03 0.25 0.21
0.12 0.11 0.22
0.20 0.03 0.10
0.13 0.08 0.12
0.04 0.14 0.11
0.06 0.14 0.11

18
0.01
0.10
0.04
0.07
0.23
0.13
0.00

19
0.19
0.06
0.16
0.13
0.15
0.12
0.08

20
0.05
0.27
0.03
0.13
0.10
0.19
0.11

18
51%
49%
56%
40%
40%
57%
49%

19
46%
49%
58%
42%
30%
57%
47%

20
58%
47%
53%
51%
47%
54%
53%

15
41%
42%
42%
42%
65%
50%
49%

16
41%
40%
49%
40%
56%
50%
51%

Average Changes over Following 5 Trading Days

EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK


EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK

5 Day Holding Period Average % Change

1
2
3
4
5
6
7
8
9
10
11
12
13
0.16 0.03 0.17 0.33 0.25 0.44 0.55 0.35 0.16 0.22 0.13 0.12 0.21
0.17 0.22 0.28 0.49 0.14 0.17 0.19 0.25 0.07 0.13 0.19 0.09 0.09
0.33 0.44 0.31 0.03 0.03 0.07 0.33 0.44 0.14 0.09 0.21 0.08 0.04
0.23 0.39 0.04 0.13 0.24 0.47 0.54 0.61 0.41 0.16 0.20 0.21 0.19
0.14 0.06 0.01 0.03 0.14 0.15 0.05 0.03 0.04 0.15 0.10 0.08 0.14
0.44 0.36 0.36 0.26 0.23 0.25 0.13 0.15 0.04 0.20 0.08 0.37 0.44
0.01 0.02 0.21 0.27 0.14 0.47 0.52 0.47 0.24 0.23 0.13 0.15 0.03













% Positive 5 Day Holding Period Avg % Change
1
2
3
4
5
6
7
8
9
10
11
12
13
44% 49% 38% 28% 38% 36% 33% 44% 41% 41% 41% 46% 41%
37% 40% 40% 35% 40% 42% 40% 42% 53% 47% 37% 42% 42%
40% 47% 51% 63% 60% 58% 65% 63% 63% 63% 58% 58% 56%
49% 63% 49% 42% 37% 35% 30% 35% 40% 42% 44% 40% 40%
53% 60% 49% 60% 58% 53% 42% 40% 47% 51% 51% 58% 60%
43% 46% 39% 32% 46% 50% 50% 57% 54% 50% 54% 50% 46%
49% 42% 56% 51% 51% 60% 60% 58% 58% 56% 53% 58% 44%

14
0.17
0.09
0.00
0.13
0.17
0.34
0.06

14
38%
35%
58%
37%
60%
54%
49%

15
46%
44%
63%
37%
58%
54%
58%

16
51%
53%
53%
47%
51%
43%
42%

17
49%
63%
67%
37%
44%
61%
47%

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.


04/30/2014

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Copyright 2014 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.