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.





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

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )


Connecting to %s