Professional Investor

STATS.
FIGURE 2: FTSE 100 INTRA-MONTH VOLATILITY
“Some commentators would also argue that the explosion in derivative
products combined with technological advances have merely served to
heighten any irrational element in market pricing”
commentators would also argue that the
STATS.
explosion in derivative products
combined with technological advances
have merely served to heighten any TABLE 5: FTSE 100 YIELD PEAKS AND TROUGHS
irrational element in market pricing. (See
fi gure 2
Dividend Subsequent performance (%)
.)
yield (%)* 3M 1Y 2Y 3Y
But does the evidence suggest that
any resultant market ineﬃ ciencies can be
16/7/87 3.03 -6 -24 -7 -9
exploited? Th e answer is that, with the 28/9/90 5.76 4 31 29 53
benefi t of hindsight, market returns can
24/3/00 2.35 -5 -20 -22 -44
be seen to be predictable to a signifi cant
12/3/03 5.17 27 35 52 80
degree. And, as much academic evidence
shows, the longer the assumed holding
13/7/07 3.50 9 -15 ? ?
period, the more impressive the results.
21/11/08 7.52 3 ? ? ?
Dividend yield levels at the start of the
investment period, for example, ‘explain’
* Published yields from 1998 ‘grossed up’.
46 SUMMER 2009
42-4742-47 FTSE.indd 46FTSE.indd 46 1/6/091/6/09 12:07:1512:07:15Professional Investor Summer 09.48 48 4/6/09 15:41:02
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