Seasonality in the Treasury Market Part 2

[WITH CODE] An investigation into a seasonal anomaly in the Treasury market

Hello!

Last week, we explored seasonality among Treasury securities. Today, we will be building off of that post and highlighting a strategy that achieves a Sharpe ratio that is over 1.3.

This strategy is based on our prior findings and on an academic paper that was highlighted in the previous post.

In the past, I have shown that calendar anomalies exist in the equity markets. Today, we will be analyzing these anomalies in the rates market.

Let’s get into it.