3/28/2014

April Seasonality Major Currency Pairs

Changes since the Close of the Prior Month
Seasonal trends varied widely for our selection of
major currency pairs in April. There are notable
swings during the first two weeks but month end
returns lean bearish for the US dollar.
GBPUSD (+0.46%), AUDUSD (+0.33%) and EURUSD
(+0.28%) turned in the strongest average returns by
day 20.
USDCAD saw notably weak performance in April,
falling in 65% of years by day 20 with an average
decline of 0.36%. USDNOK (0.29%) and USDJPY
(0.28%) also saw declines on average.

5 Day Holding Periods

Some of the pairs have seen large swings in the first two weeks of April. AUDUSD owns the strongest 5 day holding
period, rising after day 4 in 63% of years by an average of 0.54%. GBPUSD also rose in the same period, higher in
63% of years by 0.33% on average.
Yen strength appears in the second week. USDJPY saw declines after day 7 in 67% of years, falling 0.44% on
average. EURJPY also declined in that period, lower in 61% of years after day 6 with an average drop of 0.35%.
USDCAD declined after Day 11 in 70% of years but had a more modest average decline of 0.14%.
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

EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK


EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK

Average Cumulative % Change

1
2
3
4
5
6
7
8
9
10
11
12
13
0.03 0.10 0.13 0.23 0.33 0.20 0.08 0.02 0.03 0.02 0.05 0.16 0.15
0.04 0.06 0.02 0.14 0.13 0.12 0.02 0.06 0.18 0.22 0.27 0.42 0.46
0.10 0.25 0.29 0.37 0.44 0.46 0.24 0.04 0.09 0.05 0.04 0.21 0.24
0.03 0.07 0.10 0.06 0.08 0.02 0.22 0.32 0.47 0.33 0.31 0.32 0.36
0.06 0.12 0.16 0.19 0.17 0.16 0.21 0.21 0.23 0.16 0.18 0.25 0.29
0.16 0.36 0.38 0.46 0.26 0.37 0.43 0.30 0.31 0.08 0.01 0.09 0.06
0.11 0.10 0.09 0.17 0.29 0.22 0.09 0.14 0.03 0.06 0.09 0.21 0.17













% Positive Average Cumulative % Change
1
2
3
4
5
6
7
8
9
10
11
12
13
51% 44% 38% 38% 38% 41% 49% 46% 46% 54% 46% 46% 46%
53% 49% 44% 47% 42% 47% 44% 51% 51% 51% 56% 56% 58%
56% 60% 60% 60% 58% 60% 56% 53% 58% 49% 53% 42% 44%
53% 44% 42% 47% 44% 44% 51% 56% 63% 58% 56% 56% 56%
42% 42% 28% 37% 40% 42% 37% 35% 33% 37% 40% 40% 35%
54% 61% 57% 61% 54% 57% 61% 57% 54% 57% 50% 46% 54%
53% 60% 63% 58% 63% 49% 49% 44% 42% 40% 42% 40% 42%

14
0.01
0.45
0.17
0.16
0.31
0.19
0.14

14
44%
60%
37%
51%
37%
50%
44%

15 August14,2013
16
17
18
19
0.08 0.14 0.11 0.10 0.12
0.38 0.36 0.39 0.43 0.45
0.06 0.17 0.30 0.29 0.31
0.23 0.17 0.26 0.38 0.30
0.33 0.32 0.38 0.45 0.33
0.00 0.04 0.05 0.14 0.05
0.18 0.17 0.15 0.25 0.15





15
46%
56%
42%
56%
35%
54%
49%

16
46%
60%
47%
53%
37%
43%
44%

17
49%
56%
44%
53%
37%
46%
51%

18
46%
53%
49%
53%
37%
46%
40%

19
45%
58%
42%
49%
42%
48%
49%

20
0.28
0.46
0.28
0.33
0.36
0.09
0.29

20
45%
58%
49%
56%
35%
50%
44%

Average Changes over Following 5 Trading Days

EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK


EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK

5 Day Holding Period Average % Change

1
2
3
4
5
6
7
8
9
10
11
12
13
0.17 0.02 0.16 0.27 0.36 0.26 0.24 0.14 0.04 0.06 0.09 0.05 0.05
0.17 0.08 0.08 0.33 0.36 0.40 0.40 0.41 0.26 0.16 0.09 0.03 0.03
0.37 0.01 0.25 0.28 0.39 0.49 0.44 0.27 0.26 0.11 0.13 0.10 0.05
0.05 0.28 0.42 0.54 0.42 0.33 0.11 0.04 0.32 0.10 0.13 0.07 0.01
0.09 0.09 0.05 0.05 0.01 0.02 0.04 0.08 0.08 0.18 0.14 0.13 0.16
0.20 0.08 0.07 0.15 0.18 0.35 0.50 0.35 0.48 0.08 0.05 0.04 0.07
0.11 0.01 0.04 0.19 0.35 0.31 0.30 0.30 0.11 0.12 0.08 0.06 0.08













% Positive 5 Day Holding Period Avg % Change
1
2
3
4
5
6
7
8
9
10
11
12
13
41% 46% 59% 46% 56% 59% 62% 46% 54% 56% 56% 56% 54%
47% 51% 58% 63% 56% 60% 58% 58% 60% 60% 60% 58% 53%
60% 53% 35% 42% 40% 35% 33% 35% 35% 47% 49% 49% 56%
44% 60% 63% 63% 65% 56% 56% 47% 49% 49% 47% 51% 44%
44% 49% 42% 42% 44% 49% 53% 44% 40% 33% 30% 40% 35%
50% 50% 54% 32% 39% 39% 50% 50% 46% 54% 43% 61% 54%
49% 49% 51% 53% 37% 37% 37% 37% 44% 40% 42% 49% 42%

14
0.09
0.01
0.13
0.15
0.02
0.07
0.02

14
54%
56%
58%
49%
40%
43%
44%

15
16
17
18
19
20
0.00 0.07 0.11 0.09 0.03 0.10
0.08 0.22 0.26 0.15 0.09 0.11
0.22 0.15 0.01 0.06 0.01 0.24
0.10 0.32 0.20 0.12 0.22 0.36
0.03 0.15 0.16 0.09 0.15 0.08
0.18 0.01 0.11 0.24 0.17 0.02
0.11 0.14 0.33 0.17 0.20 0.04






15
51%
44%
51%
44%
51%
36%
47%

16
56%
60%
44%
58%
49%
54%
47%

17
49%
60%
47%
53%
44%
57%
44%

18
54%
56%
53%
51%
53%
61%
49%

19
58%
44%
44%
58%
44%
56%
42%

20
58%
47%
33%
63%
40%
54%
42%

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.