Understanding seasonality in financial markets requires recognizing how predictable return patterns can be influenced by investor behavior. One underexplored aspect of this is the impact of front-running—where traders anticipate seasonal trends and act early, shifting returns forward in time. We have already explored seasonality front-running in commodities, stock sectors, and crisis hedge portfolios. Our new research examines whether this phenomenon extends to country ETFs, an asset class where seasonality has been less studied. By applying a front-running strategy to a dataset of country ETFs, we identify opportunities to capitalize on seasonal effects before they fully materialize. Our findings indicate that pre-seasonality drift is strongest in commodities but remains present in country ETFs, offering a potential edge in portfolio construction. Ultimately, our study highlights how front-running seasonality can enhance ETF investing, providing an additional layer of market timing beyond traditional trend-following approaches.

Inflation is one of the key macroeconomic forces shaping financial markets, influencing asset prices across the board. In our previous analysis, we examined how gold and Treasury prices react to changes in the inflation rate, uncovering patterns that suggested inflation dynamics also impact the US dollar. In this follow-up, we shift our focus entirely to the dollar, analyzing how it responds to both accelerating and decelerating inflation. As the world’s reserve currency, the dollar’s movements have far-reaching implications, affecting global trade, monetary policy, and asset allocation. Our goal is to determine whether inflation serves as a clear driver of dollar performance and, if so, in what ways.

Navigating the financial markets requires a keen understanding of risk sentiment, and one often-overlooked dataset that provides valuable insights is FINRA’s margin debt statistics. Reported monthly, these figures track the total debit balances in customers’ securities margin accounts—a key proxy for speculative activity in the market. Since margin accounts are heavily used for leveraged trades, shifts in margin debt levels can signal changes in overall risk appetite. Our research explores how this dataset can be leveraged as a market timing tool for US stock indexes, enhancing traditional trend-following strategies that rely solely on price action. Given the current uncertainty surrounding Trump’s presidency, margin debt data could serve as a warning system, helping investors distinguish between market corrections and deeper bear markets.

Inflation significantly impacts the prices of gold and treasury bonds through various mechanisms. Gold is often viewed as a hedge against inflation, while treasury bonds exhibit a more complex relationship influenced by interest rates and investor behavior. This relationship between inflation, gold, and treasuries is well understood, but the real question is whether we can systematically capitalize on it. In this article, we explore how inflation data can be used to build trading strategies—and as our findings suggest, the answer is a definite yes.

Last year, we promised our readers that the Quantpedia Awards would be back! And now it’s again time to unveil what we have prepared for you.

For a quick recapitulation (for those who were not around in 2024, when we started this activity for the first time), our Quantpedia Awards 2025 aims to be the premier competition for all quantitative trading researchers. If you have an idea in your head about systematic/quantitative trading or investment strategy, and you would like to gain visibility on the professional scene, then submit your research paper, and you can compete for an attractive list of prizes. All info about the prizes, submission process, expert committee, and our partners are described in detail on our dedicated subpage: Quantpedia Awards 2025. However, we will also give you a quick overview in this blog post.

Building upon the established research on market seasonality and the potential for front-running to boost associated profits, this article investigates the application of seasonal strategies within the context of crisis hedge portfolios. Unlike traditional asset allocation strategies that may falter during market stress, crisis hedge portfolios are designed to provide downside protection. We examine whether incorporating seasonal timing into these portfolios can enhance their performance and return-to-risk ratios, potentially offering superior risk-adjusted returns compared to static or non-seasonal approaches.