Cross-sectional calendar-month seasonality
In plain terms
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.
How it works
Compare a stock’s past same-calendar-month total returns with the actual peer cohort in each past month, then rank its average excess return against the current eligible peers. This is a native common-stock reconstruction; no paper economic result transfers.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Pit universe membership admissible
A data feed this strategy reads, refreshed on its normal schedule.
- Xsec calendar month seasonality
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
See the source research for the original effect size; a modern replication on new data may be weaker.
Related families
This older implementation is blocked. Its replacement compares stocks with genuine historical peer groups.
Three calendar quirks: turn-of-month (last/first days outperform), pre-FOMC drift, and day-of-week (Mon weak, Wed-Thu strong).
Explore Cross-sectional calendar-month seasonality on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.