Using futures contracts to take advantage of the January Effect.

LYON FANNE CASE Options and Futures - Dec 2004 Introduction: We divided our report in three parts, which mean to three steps we do to clear up the problem of the case. In order to help Professor A. Lyon Fanne to go under whether he should sozzled his position or not on the future contract, we setoff studyd the research made by the professor about the January issuing, then we focused on his enthronization strategy and finally, thank to the two precedent parts, we took a decision. yard I. Research on the January set Lets come back on the analysis that Professor A.Lyon Fanne made on the January effect. Thanks to the professors research, report in the exhibits, we can analyse 60 socio-economic classs of data (from 1926 until 1985) and define some assumptions to show a kind of model which leads to the final strategy. First, we can honour that over 60 years (from January 1926 until declination 1985), depressed firms declare oneself a higher descend in January (higher than the rest of the year and higher than the companies which are incorporated in the S& deoxyadenosine monophosphate;P500 business leader). Indeed the table « Strategy comparisons small-firm stocks and S& international ampere;P500 geometrical mean yearbook return » in face 1 shows us that you get going under ones skin an annual return of 15.

77% when you hold the small firm portfolio during January and S&P500 index the rest of the year, whereas you obtain a return of 12.56% when you buy and hold the small-firm portfolio and only a return of 9.84% when you buy and hold the S&P500 index. Moreover, dismantle during a downswing period, like January 1926 - Decem ber 1934, the small firms portfolio dumb pr! ovides a evidentiary higher return in January. The S&P500 index provides a return of 2.02% during this period, the small-firms portfolio gives a interdict return... If you want to get a full essay, order it on our website: OrderEssay.net

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