06/30/2014

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.

July Seasonality Global Equity Indices
Changes since End of June
Seasonal biases are bullish in July for the SPX and
DAX. Both indices have tended to peak mid-
month.
The SPX was higher by day 12 in 69% of years
since 1928 with an average gain of 1.5%. By day 20
the index was 1.47% higher on average.
The DAX closed higher by day 11 in 67% of years
since 1960 with an average gain of 1.08%. The
index was 0.71% higher by day 20 on average.

5 Day Holding Periods
Five day holding period analysis suggests positioning for a month end rally in the UKX, CAC and IBEX. All three indices
rallied in the five days after day 18.
UKX rallied in 87% of years since 1984 with an average gain of 1.34%.
IBEX rose in 78% of years since 1987 by an average of 1.78%
CAC saw rallies in 73% of years since 1988 with an average gain of 1.5%.
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 0.40 0.52 0.86 0.89 0.97 1.03 1.12 1.23 1.43 1.46 1.42 1.50 1.41 1.11 1.21 1.18 1.28 1.26 1.30 1.46
DAX 0.44 0.54 0.54 0.64 0.78 0.75 0.71 0.68 0.81 1.12 1.08 0.92 1.02 1.25 0.93 0.82 0.73 0.74 0.73 0.71
UKX 0.48 0.43 0.43 0.67 0.97 0.79 0.89 0.55 0.57 0.82 0.87 0.63 0.85 0.94 0.65 0.23 0.27 0.08 0.08 0.35
CAC 0.27 -0.14 -0.22 -0.18 0.25 0.14 0.07 -0.42 -0.35 -0.04 -0.38 -0.92 -0.75 -0.57 -0.63 -0.67 -0.74 -0.77 -0.47 -0.59
NKY 0.39 0.56 0.45 0.19 0.37 0.27 0.48 0.46 0.35 0.48 0.40 0.16 0.13 -0.02 -0.44 -0.57 -0.45 -0.52 -0.29 -0.41
IBEX 0.14 0.17 -0.03 -0.04 0.19 0.16 0.24 -0.17 -0.24 -0.10 -0.59 -0.74 -0.55 -0.23 -0.65 -0.74 -0.70 -0.89 -0.47 -0.29
Average 0.35 0.35 0.34 0.36 0.59 0.52 0.59 0.39 0.43 0.62 0.47 0.25 0.35 0.41 0.18 0.04 0.06 -0.02 0.15 0.20

% 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 70% 76% 72% 69% 66% 67% 69% 66% 65% 65% 65% 69% 64% 62% 60% 59% 57% 54% 54% 57%
DAX 72% 67% 61% 69% 63% 65% 67% 67% 67% 63% 67% 65% 61% 59% 65% 65% 65% 57% 57% 57%
UKX 70% 63% 60% 67% 67% 67% 63% 57% 60% 60% 63% 60% 57% 63% 60% 53% 47% 50% 50% 53%
CAC 58% 54% 42% 50% 46% 58% 50% 54% 54% 50% 58% 58% 54% 54% 42% 50% 46% 46% 50% 56%
NKY 68% 68% 59% 48% 55% 57% 57% 48% 48% 52% 50% 50% 43% 41% 39% 36% 41% 41% 41% 48%
IBEX 59% 52% 48% 44% 48% 56% 44% 37% 44% 44% 48% 48% 48% 44% 41% 52% 56% 52% 48% 41%
Average 66% 63% 57% 58% 57% 61% 58% 55% 56% 56% 58% 58% 54% 54% 51% 53% 52% 50% 50% 52%
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 0.63 0.59 0.36 0.54 0.48 0.38 0.38 0.19 -0.31 -0.25 -0.25 -0.24 -0.23 0.11 0.15 0.31 0.40 0.58 0.44 0.35
DAX 0.31 0.18 0.15 0.16 0.35 0.33 0.19 0.32 0.42 -0.19 -0.26 -0.19 -0.30 -0.53 -0.25 0.15 0.59 0.84 0.76 0.72
UKX 0.32 0.47 0.13 -0.11 -0.16 0.06 -0.29 0.28 0.37 -0.17 -0.63 -0.35 -0.80 -0.87 -0.32 0.46 0.76 1.34 1.06 0.66
CAC -0.11 0.22 -0.18 -0.18 -0.29 -0.53 -1.01 -0.34 -0.19 -0.59 -0.31 0.18 -0.08 0.06 0.39 1.02 1.46 1.50 0.59 -0.06
NKY -0.12 -0.09 -0.01 0.14 0.10 0.12 -0.31 -0.32 -0.35 -0.89 -0.93 -0.58 -0.64 -0.27 0.04 0.34 0.27 0.34 -0.03 -0.21
IBEX 0.04 0.08 -0.13 -0.21 -0.30 -0.76 -0.98 -0.38 0.04 -0.54 -0.15 0.02 -0.39 -0.30 0.33 0.98 1.18 1.78 0.79 0.60
Average 0.18 0.24 0.05 0.06 0.03 -0.07 -0.34 -0.04 0.00 -0.44 -0.42 -0.19 -0.41 -0.30 0.06 0.54 0.78 1.07 0.60 0.34

% 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 62% 69% 65% 63% 62% 55% 59% 49% 44% 47% 50% 50% 48% 51% 56% 56% 58% 64% 59% 54%
DAX 56% 57% 54% 50% 63% 69% 61% 44% 56% 54% 48% 48% 50% 43% 46% 52% 63% 69% 67% 65%
UKX 60% 57% 47% 50% 57% 53% 43% 50% 53% 47% 30% 40% 43% 33% 40% 63% 63% 87% 77% 73%
CAC 46% 54% 46% 50% 65% 58% 54% 42% 42% 46% 54% 54% 54% 54% 62% 69% 69% 73% 69% 52%
NKY 45% 45% 45% 50% 59% 50% 52% 43% 50% 30% 41% 41% 39% 43% 50% 64% 57% 64% 45% 48%
IBEX 48% 52% 52% 56% 48% 52% 30% 33% 56% 44% 44% 56% 48% 44% 56% 67% 63% 78% 74% 67%
Average 53% 56% 51% 53% 59% 56% 50% 44% 50% 45% 45% 48% 47% 45% 52% 62% 62% 72% 65% 60%
06/30/2014
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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