Real-World & Alternative DataExtended setInactiveNew

calendar-month seasonality

Updated monthlyData needs: lowlong onlyshort onlylong short

paper

2016

Source

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

Read the paper →

In plain terms

This older implementation is blocked. Its replacement compares stocks with genuine historical peer groups.

How it works

The blocked legacy formula standardizes a stock against its own other calendar months, which does not implement the paper’s historical cross-sectional demeaning and current peer sort. The distinct repaired successor uses native dated cohorts.

Live results

14 times picked on its own · 21 times inside a blend (21 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 21 such blended picks (21 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)

Data dependencies

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

Expected edge

See the source research for the original effect size; a modern replication on new data may be weaker.

Related families

Cross-sectional calendar-month seasonalityReal-World & Alternative Data

Compare a stock’s performance in the same month of past years with its peers at those times. Once a month, use that history to rank today’s eligible stocks and trade the highest or lowest group.

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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