At Quantpedia, we love seasonality effects, and our screener includes several strategies that exploit them. These anomalies are fascinating since they usually offer a favorable risk and reward ratio and are commonly invested only during short periods. Frequently, these strategies are valuable additions to portfolios because they are not that sensitive to overall market performance. This short article presents a brief examination of some possible Bitcoin seasonalities.

We have a new video featuring three examples of how to built new strategies on top of ideas from Quantpedia’s database. We hope you will like it …

Stock prices react to the new information that investors continually receive from many sources. There are some major events, which are commonly connected with a new piece of information and subsequent reactions of investors. For example, quarterly earnings-announcements are the cause of the post-earnings announcement drift or PEAD. According to the PEAD, prices tend to continue to drift up (down) after positive (negative) news. But news related to quarterly announcements is not the only important information. A novel research paper written by the Hong and Yu explores implications of the month-end reporting, analyst revisions and management guidance that are coming to market usually in the first half of each month and are also connected with drifts that offer practitioners profitable opportunities.

Authors: Claire Yurong Hong and Jialin Yu

Title: Month-End Reporting, Cash-Flow News, and Asset Pricing

The presidential campaign is becoming hotter as we are moving closer to this year’s election. But we still have enough time to dig deeper into data about the past elections and prepare for autumn. Therefore, we have prepared a short video recapitulation of our paper on the pre-election drift.

Federal Open Market Committee meetings (aka FED meetings) have a significant influence on the number of different assets (see for example our article related to drift in equities during FED meetings). The main channel which FED uses to influence the US economy is the level of short term interest rates. Therefore, it’s not a surprise that FED meetings have influence also on long-term interest rates. But just how big? Bigger than most people think. We are presenting one interesting research paper written by Sebastian Hillenbrand, which shows that the whole secular decline in equity yields and long-term interest rates since 1980 was realized entirely in a 3-day window around FOMC meetings. Now, that’s called the influence …

Author: Hillenbrand

Title: The Secular Decline in Long-Term Yields around FOMC Meetings