From Seasons To Signals

This report examines FX seasonality from macro and systematic perspectives, concluding that cross-sectional seasonality signals lost predictive power post-2020. However, specific pair-level seasonal effects remain valuable for monitoring.

Key Takeaways

• 1.Trading seasonality systematically has not generated consistent returns post-2020.
• 2.Specific FX seasonality patterns (SEK, CHF, NOK, NZD) driven by macro/flow factors remain relevant for monitoring.

Table of Contents

• From seasons to signals
• 1. Main take-aways from the macro lens
• 2. Main take-aways from the systematic signals
• Cross-sectional strategy
• Time series strategy
• G10 crosses
• Part 1: The macro lens – G10 FX seasonality catalogue
• Part 2: A systematic approach to seasonality
• Isolating currency seasonality from S&P 500/interest rate dynamics
• Appendix A: Visualisation of seasonality signals
• Appendix B: Hit rate of time-series seasonality strategy per currency pair
• Appendix C: Summary statistics of cross-sectional seasonality strategy
• Appendix D
• Disclosures

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