Markets · Strategies · Core
12-Month Cycle in the Cross-Section of Stock Returns
Use same-calendar-month returns in prior years as a cross-sectional signal — annual seasonality in the stock sort.
Definition
Rank stocks on the return they printed in the same calendar month over past years (Heston–Sadka style). Long high same-month names, short low. Distinct from 12-1 momentum.
Why it matters
It is a weird, well-documented seasonal. Easy to overfit calendars around it.
Case
A stock that always rips in April on a seasonal product cycle. The sort finds it — until the product cycle dies.
How to read it
Years of history required and liquidity. A 3-year same-month average is noise.
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