Implemented Strategies: Calendar Anomalies Part 3

[WITH CODE] Creating and optimizing a strategy that exploits calendar anomalies to outperform the S&P 500

Hello!

Today, I will be showcasing an aggregate calendar effect strategy that I created from the results found in my prior two calendar effect posts (Part 1 and Part 2). This strategy outperforms the S&P 500 in terms of total return and risk-adjusted returns (over double the Sharpe ratio of the S&P 500).

In my Recent Academic Research posts, I’ve highlighted multiple papers demonstrating how certain return patterns in the U.S. stock market can be exploited for outperformance. These strategies capitalize on periods of abnormally high or low returns at specific times of the year.

The code for paid subscribers has been sent directly to your inbox. If you become a paid subscriber after this post goes live, I’ll send it to you within 24 hours.

This is the final post of this three part series. I enjoyed creating a multi-part series on this paper, as I was able to dive deeper into the calendar effects (and create a strategy that outperforms the S&P 500).

Let’s get into it.