Seasonality in the Treasury Market

[WITH CODE] A dive into seasonality in the U.S. treasury market

Hello!

Welcome back to another paid-only post. Today, I want to dive deep into the seasonality of Treasuries from an academic paper standpoint.

All types of financial markets and asset classes exhibit seasonality. We often hear about the “Sell in May and Go Away” effect in equities, but the treasury market has unique characteristics that affects its returns, from auction cycles to quarterly refunding announcements.

In this post, I’ll highlight a collection of academic papers that explore these seasonal effects, along with my own analysis and commentary. I’ll also point out some common pitfalls that come up in the interpretation of this kind of research.

Let’s get into it.