Seasonality roundup: all timeframes

The complete seasonality series is here, using Fama-French data from 1984-2014.

I Daily: CAR 10% with 25% exposure.

II Annual: CAR 18% with 84% exposure.

III Fama-French factors: Fama-French HML factor over Presidential Cycle.

IV Bi-annual: excluding months 4-7 in even years, 8-10 in odd years.

  • Bi-annual value: CAR 19% with 70% exposure.
  • Bi-annual momentum: CAR 23% with 70% exposure.

 

 

 

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2 thoughts on “Seasonality roundup: all timeframes

  1. Pingback: Daily Wrap for 6/6/2014 | The Whole Street

  2. Pingback: Practically combining trend-following and seasonality | RRSP Strategy

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