Quant Radio: How to Spot and Leverage Seasonality

Have you ever wondered if it’s possible to get ahead of the market by recognizing patterns that repeat each year? In this episode, we explore the idea of front running seasonality—specifically within the world of country ETFs. It's a strategy built on anticipation: identifying seasonal trends in global markets and positioning your investments before the rest of the crowd catches on.

We take a deep dive into the research behind this approach, looking at whether using last year’s ETF performance to predict this year’s top picks actually pays off. Drawing on data from 23 country ETFs over more than two decades, the conversation unpacks the methods researchers used to test different strategies—from highly concentrated bets on a single ETF to more diversified plays involving a handful of top performers.

The findings are intriguing. In many cases, strategies that focused on the top three to eight ETFs based on past performance did outperform a passive, equally weighted portfolio. But as with any investment tactic, there are trade-offs. We talk about the risks of over-concentration, the potential dilution of returns when spreading too thin, and why this strategy might not be as powerful in country ETFs as it is in other asset classes like commodities.

This episode is for anyone curious about how expectations move markets, how data-driven strategies are tested in practice, and whether there’s a smarter way to ride seasonal waves. It's a reminder that while history doesn’t repeat itself exactly, it often rhymes—and sometimes, being early makes all the difference.

Find the full research paper here: https://community.quantopian.com/c/community-forums/how-to-spot-and-leverage-seasonality-quantpedia

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Quant Radio is an AI-generated podcast, intended to help people develop their knowledge and skills in Quant finance. This podcast is not intended to provide investment advice.