05/30/2014

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.

June Seasonality Global Equity Indices
Changes since the Close of the Prior Month
Seasonal trends for June are flat to modestly bearish
for most of our equity indices. The group has
finished the month down 0.3% on average.
The SPX came in strongest, closing 0.63% higher on
average at day 20.
The weakest were the CAC (0.95%), UKX (0.81%)
and DAX (0.70%). The DAX had the strongest
bearish bias, declining in 62% of years since 1960.

5 Day Holding Periods
The 5 day holding period analysis shows a bearish bias for the UKX after day 12. The index fell in 70% of years by
an average of 0.98%. The DAX has seen weakness after day 14, falling in 65% of years by 0.65% on average.
All of the indices have seen rallies late in the month into early July. The strongest was the NKY, higher after day 18
in 70% of years by 1.32% on average. The DAX followed, higher in 75% of years by 1.24% on average during the
same period.
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 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.

August14,2013

Average Changes from Previous Monthly Close
Average Cumulative % Change
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
SPX 0.01 0.22 0.38 0.56 0.50 0.37 0.35 0.60 0.60 0.68 0.68 0.67 0.71 0.66 0.66 0.64 0.58 0.50 0.59 0.63
DAX 0.05 0.06 0.12 0.19 0.39 0.14 0.22 0.14 0.19 0.29 0.60 0.53 0.43 0.53 0.43 0.01 0.17 0.45 0.30 0.70
UKX 0.23 0.59 0.55 0.35 0.46 0.34 0.41 0.07 0.11 0.14 0.17 0.23 0.19 0.25 0.26 0.67 0.74 0.93 0.66 0.81
CAC 0.04 0.10 0.06 0.17 0.28 0.69 0.39 0.63 0.83 0.85 0.73 0.74 0.97 1.27 1.13 1.42 1.35 1.26 1.27 0.97
NKY 0.08 0.12 0.25 0.17 0.24 0.00 0.15 0.00 0.33 0.21 0.22 0.12 0.07 0.21 0.16 0.10 0.11 0.29 0.11 0.11
IBEX 0.07 0.51 0.47 0.11 0.10 0.36 0.09 0.07 0.08 0.15 0.19 0.19 0.29 0.35 0.12 0.24 0.39 0.43 0.52 0.09
Average 0.08 0.27 0.28 0.20 0.20 0.03 0.06 0.02 0.03 0.04 0.12 0.06 0.00 0.15 0.04 0.27 0.37 0.48 0.38 0.30

% Positive Average Cumulative Change
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
SPX 49% 57% 52% 58% 60% 53% 56% 58% 62% 59% 60% 59% 60% 55% 58% 56% 56% 55% 53% 53%
DAX 56% 52% 56% 61% 54% 54% 52% 50% 50% 48% 50% 54% 50% 54% 54% 50% 51% 45% 44% 38%
UKX 53% 67% 70% 57% 67% 63% 63% 67% 63% 67% 63% 67% 63% 60% 50% 50% 47% 47% 45% 46%
CAC 50% 50% 58% 54% 46% 54% 54% 54% 54% 46% 50% 42% 42% 42% 42% 46% 50% 46% 50% 46%
NKY 57% 50% 52% 50% 57% 50% 43% 45% 50% 55% 59% 55% 59% 57% 55% 57% 59% 55% 52% 50%
IBEX 48% 70% 59% 59% 52% 52% 56% 52% 59% 56% 56% 48% 44% 41% 52% 48% 48% 56% 56% 59%
Average 52% 58% 58% 57% 56% 54% 54% 54% 56% 55% 56% 54% 53% 51% 52% 51% 52% 51% 50% 49%

Average Changes over Following 5 Trading Days
5 Day Holding Period Average % Change
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
SPX 0.38 0.14 0.21 0.04 0.17 0.32 0.32 0.10 0.05 0.02 0.05 0.11 0.22 0.08 0.03 0.09 0.25 0.73 0.80 0.93
DAX 0.10 0.17 0.02 0.00 0.10 0.46 0.30 0.27 0.33 0.12 0.62 0.78 0.87 0.65 0.32 0.67 0.96 1.24 0.95 0.73
UKX 0.11 0.18 0.48 0.24 0.31 0.17 0.18 0.12 0.37 0.41 0.84 0.98 1.11 0.64 0.65 0.12 0.04 0.49 0.83 0.70
CAC 0.72 0.48 0.58 0.68 0.58 0.04 0.35 0.35 0.45 0.29 0.71 0.65 0.31 0.01 0.18 0.82 0.51 0.28 0.44 0.10
NKY 0.08 0.27 0.24 0.50 0.45 0.21 0.03 0.08 0.12 0.36 0.30 0.01 0.22 0.11 0.05 0.35 0.78 1.32 1.11 0.81
IBEX 0.43 0.60 0.56 0.04 0.26 0.57 0.09 0.23 0.45 0.31 0.49 0.25 0.18 0.21 0.04 0.22 0.31 0.44 0.88 0.23
Average 0.11 0.20 0.27 0.24 0.17 0.15 0.00 0.03 0.13 0.09 0.40 0.46 0.48 0.25 0.14 0.34 0.47 0.75 0.83 0.55

% Positive 5 Day Holding Period Average % Change
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
SPX 51% 45% 49% 53% 55% 55% 56% 52% 49% 50% 52% 51% 43% 49% 50% 53% 53% 64% 64% 66%
DAX 59% 54% 52% 48% 48% 52% 52% 54% 50% 57% 44% 41% 41% 35% 43% 67% 62% 75% 66% 59%
UKX 47% 50% 47% 53% 53% 50% 63% 57% 47% 33% 37% 30% 33% 37% 33% 50% 47% 63% 66% 61%
CAC 38% 46% 42% 38% 38% 42% 42% 46% 31% 46% 50% 42% 46% 50% 50% 65% 50% 50% 46% 46%
NKY 52% 39% 50% 45% 45% 57% 55% 55% 57% 59% 59% 52% 57% 61% 64% 59% 73% 70% 66% 70%
IBEX 41% 37% 33% 44% 56% 56% 48% 52% 48% 56% 56% 52% 44% 48% 48% 56% 48% 44% 56% 56%
Average 48% 45% 45% 47% 49% 52% 53% 53% 47% 50% 50% 45% 44% 47% 48% 58% 56% 61% 60% 60%
05/30/2014
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.

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