Otto van Hemert - Seasonality Everywhere (S7E6)
Flirting with Models
Exploring Seasonality in Investment Trends
Delve into the concept of seasonality in investment trends, discussing how past returns can predict future returns up to 12 months ahead, highlighting the unique nature of seasonality effects. Explore three categories of seasonality trades: fixed calendar trades, rolling window effects, and event-based trades, with a focus on the effectiveness of each approach. Discuss the relationship between risk premiums and seasonality in different markets, and the application of seasonality in trading strategies, emphasizing the importance of managing risk in combining seasonality and trend models.
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