March

Seasonality Major Currency Pairs

Changes since the Close of the Prior Month
March offers little in terms of directional
bias for our selection of currency pairs.
GBPUSD has been weak in the first half,
lower in 59% of years and falling 0.51%
by Day 11. EURUSD has seen weakness in
the second half, falling 0.55% and lower
in 64% of years by Day 20.
EURJPY managed to rally 0.26% on
average by Day 7, higher 68% of the time.

5 Day Holding Periods

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.
Five day holding periods also fail to offer any strong directional cues. EURJPY finds a bullish bias into
month end, closing higher in the period after Day 20 in 65% of years by an average of 0.80%.
EURUSD has seen weakness in the period after Day 12, falling 0.38% on average and declining 62% of
the time.

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.

Average Changes from Previous Monthly Close

EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK

EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK

1
0.21
0.20
0.06
0.02
0.04
0.14
0.07

1
28%
47%
58%
42%
51%
39%
56%

2
0.23
0.20
0.00
0.06
0.10
0.05
0.01

2
38%
35%
53%
44%
51%
43%
51%

3
0.24
0.17
0.09
0.10
0.02
0.01
0.06

3
31%
47%
51%
51%
51%
50%
49%

4
0.32
0.16
0.05
0.19
0.07
0.06
0.12

4
31%
44%
47%
49%
51%
54%
56%

5
0.18
0.14
0.11
0.17
0.08
0.04
0.04

5
31%
44%
49%
44%
53%
61%
53%

6
0.21
0.37
0.02
0.38
0.02
0.15
0.10

Average Cumulative % Change

7
8
9
10
11
12
0.23 0.30 0.31 0.23 0.29 0.22
0.36 0.47 0.41 0.41 0.51 0.37
0.08 0.04 0.01 0.08 0.12 0.05
0.27 0.31 0.21 0.21 0.43 0.28
0.03 0.01 0.03 0.00 0.06 0.01
0.26 0.22 0.12 0.10 0.04 0.14
0.05 0.06 0.08 0.08 0.22 0.13

August14,2013

13
0.13
0.30
0.07
0.33
0.00
0.19
0.02

14
0.13
0.17
0.04
0.24
0.00
0.21
0.03

15
0.37
0.14
0.01
0.28
0.01
0.07
0.03

16
0.43
0.10
0.04
0.12
0.08
0.16
0.02

17
0.59
0.20
0.03
0.14
0.02
0.07
0.07

18
0.48
0.11
0.01
0.11
0.07
0.07
0.01

19
0.60
0.14
0.11
0.11
0.05
0.05
0.15

20
0.55
0.14
0.16
0.21
0.00
0.01
0.11

% Positive Average Cumulative % Change

6
7
8
9
10
11
12
13
41% 36% 36% 38% 36% 44% 44% 44%
44% 47% 44% 44% 44% 42% 47% 47%
53% 47% 47% 51% 51% 49% 44% 44%
53% 51% 42% 49% 49% 47% 51% 47%
53% 51% 47% 44% 47% 49% 49% 47%
61% 68% 61% 64% 57% 57% 54% 57%
47% 44% 56% 51% 49% 49% 51% 44%

14
38%
47%
44%
47%
44%
61%
51%

15
31%
49%
44%
44%
49%
64%
49%

16
31%
53%
44%
44%
44%
61%
51%

17
36%
49%
51%
44%
44%
61%
49%

18
41%
53%
42%
49%
49%
64%
47%

19
41%
51%
47%
49%
44%
54%
49%

20
36%
51%
49%
47%
49%
46%
49%

Average Changes over Following 5 Trading Days

EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK

1
0.00
0.17
0.09
0.36
0.02
0.29
0.03

2
0.00
0.17
0.07
0.21
0.13
0.30
0.07

3
0.07
0.30
0.13
0.21
0.03
0.23
0.01

4
0.02
0.25
0.05
0.02
0.10
0.18
0.03

5
0.05
0.27
0.03
0.04
0.08
0.06
0.05

off5 Day Holding Period Average % Change

6
7
8
9
10
11
12
13
0.08 0.01 0.17 0.17 0.14 0.14 0.38 0.35
0.15 0.01 0.18 0.25 0.27 0.41 0.16 0.19
0.10 0.13 0.11 0.05 0.09 0.17 0.08 0.08
0.05 0.01 0.02 0.03 0.07 0.31 0.13 0.22
0.04 0.05 0.01 0.03 0.01 0.14 0.04 0.07
0.11 0.11 0.03 0.09 0.03 0.12 0.21 0.13
0.12 0.08 0.09 0.12 0.05 0.25 0.06 0.02

14
0.48
0.01
0.15
0.13
0.05
0.26
0.19

15
0.26
0.01
0.15
0.07
0.01
0.18
0.08

16
0.14
0.01
0.04
0.14
0.11
0.25
0.02

17
0.04
0.15
0.29
0.05
0.02
0.26
0.05

18
0.04
0.12
0.31
0.09
0.02
0.03
0.01

19
0.09
0.22
0.19
0.05
0.11
0.51
0.29

20
0.22
0.11
0.31
0.02
0.15
0.80
0.17

4
38%
42%
47%
51%
44%
54%
56%

5
51%
44%
53%
58%
47%
57%
51%

% Positive 5 Day Holding Period Avg % Change

6
7
8
9
10
11
12
13
54% 62% 67% 56% 44% 46% 38% 44%
47% 51% 63% 47% 49% 51% 51% 60%
49% 56% 51% 49% 44% 49% 56% 51%
47% 49% 51% 51% 47% 58% 56% 56%
51% 53% 56% 53% 51% 44% 51% 53%
50% 50% 50% 46% 57% 54% 46% 54%
49% 51% 47% 47% 51% 49% 56% 49%

14
44%
47%
56%
47%
44%
46%
56%

15
41%
47%
47%
47%
56%
43%
47%

16
36%
42%
51%
37%
58%
50%
49%

17
44%
60%
58%
42%
51%
64%
47%

18
54%
47%
56%
42%
44%
54%
40%

19
51%
53%
60%
42%
44%
64%
42%

20
56%
56%
56%
47%
44%
65%
42%

EURUSD
GBPUSD
USDJPY
AUDUSD
USDCAD
EURJPY
USDNOK

1
44%
44%
56%
53%
44%
57%
44%

2
49%
42%
53%
53%
37%
68%
47%

3
51%
42%
63%
44%
49%
57%
51%

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.

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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.