04/30/2014

April Seasonality Global Equity Indices

Changes since the Close of the Prior Month
Seasonal trends show a very modest bearish drift for our selection of global equity indices in May. All but the IBEX saw MTD declines by day 15. The average of the six indices bottomed at 0.43% on day 17. The NKY has seen early strength, rising into day 3 in 73% of years by 0.86%. The SPX rose 0.7% on average by day 6 before drifting lower. The IBEX held firm relative to the group, finishing up 0.16%. The weakest were the CAC, 0.92% by day 17, and the DAX, 0.69% by day 14.

5 Day Holding Periods

The NKYs early rally has been a fade opportunity. The index has fallen after day 5 in 68% of years since 1970 by an average of 0.67%. The UKX has declined after day 12 in 67% of years since 1985 by an average of 0.66%. Performance in the final week was strong for several indices. The NKY also had one of the stronger periods, rising after day 15 in 70% of years by 0.5% on average. The DAX saw rallies after day 17 in 63% of years with an average gain of 0.86%. The CAC rose in the period after day 18 in 62% of years since 1988, gaining 0.89% 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

SPX DAX UKX CAC NKY IBEX Average SPX DAX UKX CAC NKY IBEX Average 1 0.20 0.19 0.08 0.68 0.25 0.19 0.27 1 56% 57% 53% 81% 61% 52% 60% 2 0.38 0.03 0.09 0.43 0.63 0.18 0.22 2 67% 50% 60% 73% 77% 56% 64% 3 0.58 0.24 0.21 0.37 0.86 0.25 0.34 3 69% 56% 67% 62% 73% 63% 65% 4 0.58 0.14 0.24 0.17 0.80 0.37 0.26 4 66% 56% 57% 62% 70% 63% 62% 5 0.56 0.07 0.22 0.12 0.56 0.29 0.21 5 67% 48% 60% 50% 66% 52% 57% 6 0.70 0.13 0.41 0.15 0.33 0.01 0.24 6 69% 44% 63% 50% 59% 48% 56% Average Cumulative % Change 7 8 9 10 11 12 13 0.63 0.54 0.35 0.11 0.07 0.09 0.04 0.25 0.08 0.28 0.26 0.17 0.30 0.39 0.36 0.48 0.19 0.20 0.37 0.27 0.22 0.12 0.14 0.15 0.08 0.01 0.08 0.23 0.30 0.14 0.05 0.11 0.04 0.39 0.41 0.19 0.23 0.52 0.31 0.30 0.39 0.57 0.22 0.24 0.16 0.03 0.09 0.01 0.05 % Positive Average Cumulative Change 7 8 9 10 11 12 13 65% 64% 60% 56% 53% 53% 53% 43% 43% 46% 46% 48% 46% 39% 60% 60% 53% 50% 50% 50% 50% 50% 46% 50% 54% 58% 46% 42% 57% 45% 50% 48% 43% 45% 52% 56% 44% 48% 56% 56% 63% 67% 55% 50% 51% 52% 51% 51% 51% 14 0.14 0.69 0.13 0.11 0.45 0.28 0.16 14 59% 39% 53% 58% 50% 67% 54% 15 0.22 0.59 0.01 0.29 0.48 0.30 0.21 15 52% 44% 53% 54% 55% 67% 54%

August14,2013
16 0.36 0.58 0.25 0.51 0.55 0.36 0.31 16 53% 41% 50% 42% 45% 59% 49% 17 0.42 0.69 0.40 0.92 0.49 0.36 0.43 17 52% 44% 47% 42% 48% 59% 49% 18 19 20 0.33 0.27 0.34 0.17 0.29 0.57 0.11 0.13 0.04 0.60 0.17 0.36 0.43 0.46 0.21 0.37 0.58 0.16 0.21 0.13 0.21 18 57% 50% 43% 42% 43% 56% 49% 19 56% 53% 47% 43% 51% 63% 52% 20 55% 43% 52% 42% 46% 56% 49%

Average Changes over Following 5 Trading Days

SPX DAX UKX CAC NKY IBEX Average SPX DAX UKX CAC NKY IBEX Average 1 0.50 0.31 0.33 0.53 0.08 0.18 0.02 1 62% 44% 63% 50% 48% 48% 53% 2 0.24 0.23 0.27 0.31 0.33 0.38 0.00 2 59% 52% 57% 50% 41% 52% 52% 3 0.03 0.32 0.28 0.21 0.73 0.51 0.08 3 48% 52% 57% 42% 39% 59% 49% 4 0.22 0.42 0.06 0.01 0.75 0.94 0.08 4 43% 46% 47% 38% 36% 63% 46% 5 0.44 0.33 0.03 0.16 0.67 0.65 0.16 5 34% 44% 50% 46% 32% 63% 45% 5 Day Holding Period Average % Change 6 7 8 9 10 11 12 13 0.62 0.54 0.58 0.50 0.34 0.46 0.54 0.33 0.06 0.07 0.32 0.42 0.35 0.43 0.39 0.06 0.05 0.10 0.28 0.07 0.23 0.63 0.66 0.31 0.16 0.20 0.37 0.27 0.21 0.49 0.82 0.36 0.38 0.70 0.55 0.52 0.39 0.51 0.08 0.01 0.33 0.22 0.35 0.27 0.02 0.04 0.08 0.24 0.16 0.23 0.29 0.34 0.26 0.41 0.43 0.22 % Positive 5 Day Holding Period Average % Change 6 7 8 9 10 11 12 13 43% 42% 40% 45% 44% 47% 53% 53% 52% 56% 43% 41% 44% 44% 52% 44% 53% 53% 40% 50% 40% 40% 33% 43% 42% 54% 54% 46% 50% 46% 42% 46% 41% 36% 39% 39% 45% 48% 50% 57% 56% 63% 56% 52% 63% 56% 52% 41% 48% 51% 45% 45% 48% 47% 47% 47% 14 15 16 17 0.14 0.14 0.18 0.26 0.52 0.30 0.59 0.86 0.23 0.12 0.08 0.58 0.03 0.40 0.40 1.05 0.66 0.50 0.81 0.51 0.29 0.21 0.07 0.27 0.19 0.19 0.36 0.59 14 51% 59% 50% 50% 66% 59% 56% 15 52% 56% 43% 54% 70% 70% 58% 16 55% 57% 67% 58% 64% 59% 60% 17 59% 63% 53% 58% 59% 56% 58% 18 0.27 0.81 0.31 0.89 0.51 0.27 0.51 18 56% 65% 47% 62% 48% 48% 54% 19 20 0.49 0.66 0.69 0.60 0.50 0.47 0.29 0.38 0.21 0.01 0.36 0.33 0.35 0.28 19 58% 63% 60% 48% 49% 52% 55% 20 60% 51% 70% 47% 50% 60% 56%

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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.