Seasonal Effects and Other Anomalies

White paper authors: Blair Hull, Petra Bakosova, Alexander Kment

Market research has identified recurring patterns around the calendar, policy announcements and market trends. This white paper revisits these anomalies and studies how they can be combined in a Seasonal Anomaly and Trend Model.

What the paper explores

Sell in May: differences between the November–April and May–October periods.
Turn of the Month: patterns around the end and beginning of each month.
FOMC pre-announcement drift: market behavior ahead of Federal Open Market Committee announcements.
State Dependent Momentum: momentum signals that account for the market’s position relative to its 200-day moving average.

The paper describes an expanding-window, walk-forward approach using historical S&P 500 and Treasury bill data. It evaluates the individual effects and their combination within the model.

Read the full research

Download the white paper for the methodology, historical analysis, results and references. The study’s historical findings should be considered within the periods and assumptions described in the paper.

Download the full white paper (PDF)

This article introduces the linked research. Historical model results are not a guarantee of future outcomes and should not be interpreted as current HTUS fund performance.

Disclaimer

This document does not constitute advice or a recommendation or offer to sell or a solicitation to deal in any security or financial product. It is provided for information purposes only and on the understanding that the recipient has sufficient knowledge and experience to be able to understand and make their own evaluation of the proposals and services described herein, any risks associated therewith and any related legal, tax, accounting, or other material considerations. To the extent that the reader has any questions regarding the applicability of any specific issue discussed above to their specific portfolio or situation, prospective investors are encouraged to contact HTAA or consult with the professional advisor of their choosing.

Except where otherwise indicated, the information contained in this article is based on matters as they exist as of the date of preparation of such material and not as of the date of distribution of any future date. Recipients should not rely on this material in making any future investment decision.

Research

Seasonal Effects and Other Anomalies

What the paper explores

Read the full research

Disclaimer

Comments