Real-World & Alternative DataExtended setlive in productionNew

calendar-month seasonality

Updated monthlyData needs: lowlong onlyshort onlylong short

2016

Keloharju, M., Linnainmaa, J. T., & Nyberg, P. (2016). Return Seasonalities. Journal of Finance, 71(4), 1557-1590.

In plain terms

Some stocks reliably do better in certain months of the year, and this strategy leans into those repeating monthly patterns.

How it works

A stock's historical average return in a given calendar month predicts its return the next time that month arrives, driven by recurring firm-level information releases and clientele flows (earnings cadence, dividend months, fiscal seasonality). The per-ticker version z-scores the trailing same-calendar-month mean return against the stock's own distribution of seasonal means across all 12 months, excluding the most recent skip-recent-months window to stay orthogonal to momentum/reversal.

Live results

16 times picked on its own · 37 times inside a blend (36 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 37 such blended picks (36 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Captures persistent month-of-year return patterns the paper sorts earn ~13%/yr long the high decile, short the low decile.

Related families

Calendar AnomaliesEconomy & Policy

Three calendar quirks: turn-of-month (last/first days outperform), pre-FOMC drift, and day-of-week (Mon weak, Wed-Thu strong).

Explore calendar-month seasonality on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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