Science considers seasonality one of the best investment strategies
In the world of investments, there is a fundamental question that has spanned decades of academic debate and financial practice: are there systematic methods to achieve returns that outperform the market?
Recently, one of the most in-depth and authoritative studies ever conducted on this topic has provided a surprising answer: according to the study, some of these methods show notable persistence, and among them is one of the least known—seasonality.
A groundbreaking study by Guido Baltussen, Laurens Swinkels, and Pim van Vliet, published under the title "Global Factor Premiums", analyzed 68 different markets over an extraordinary historical period—up to 217 years. Such an extensive time frame, almost unprecedented in academic research, allows for evaluating the persistence of these phenomena with rare statistical robustness.
But let's take a step back: what are "global factor premiums"?
What Are Investment Factors?
Investment factors are characteristics of financial assets that have historically been associated with returns different from the market. In simple terms, they are rules for classifying investments based on measurable patterns over time. The study in question tested the six most important global factors over an extremely long period—up to 217 years—and across 68 different markets, including stocks, bonds, currencies, and commodities.
Among these factors, one of the most persistent in the analyzed sample is also the least known to the general public: seasonality.
In investing, seasonality refers to recurring cyclical patterns of returns that occur at specific times of the year or month. Well-known examples of seasonality include the so-called "January effect" or the "Santa Claus rally" in stock markets.
What does the study say about seasonality?
According to the analysis by Baltussen and colleagues, the seasonal effect not only exists but is among the most persistent over the long term within the sample studied.
The result is interesting for at least three reasons:
Historical Validity: The study analyzed nearly two centuries of financial history, indicating that seasonality is not a recent or temporary phenomenon but rather a deeply rooted characteristic of the markets.
Global Validity: Seasonality was tested across 68 markets, including stocks, currencies, bonds, and commodities, showing remarkable consistency.
Limited Adoption Among Investors: Despite this evidence, seasonality remains underrated and underutilized by investors, who tend to focus on more traditional methods like Value Investing.
Our Seasonality Forecast vs Nasdaq, 2025
Why Does Seasonality Exist?
According to the authors, seasonality is linked to investor behavior. For example, investors tend to repeat certain actions throughout the year—such as buying or selling stocks during specific periods for tax or accounting reasons—creating measurable seasonal patterns.
Implications for Investors
This scientific research has significant implications for both private and professional investors:
Portfolio Diversification: Seasonality can be a diversification element worth considering within a strategy, with the limits inherent to any historical evidence.
Method: Studying seasonality means relying on patterns observed over long periods, rather than chasing current trends or recent performance.
Conclusion
In summary, the study conducted by researchers at Erasmus University Rotterdam demonstrates that certain factors, particularly seasonality, are not temporary anomalies but rather deep and persistent characteristics of financial markets. Seasonality confirms itself as a persistent phenomenon, worth studying with method.
For investors, advisors, and fund managers, seasonality is a phenomenon worth studying and verifying against the data before any use.
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In our training courses, you learn to measure seasonality and verify it against historical data, using our dashboard's tools.
