Seasonality patterns caught the attention of equity and commodity investors long ago. Many papers have been written about the tendency for equities to rally in January, at the turn-of-the-month (especially the first day of the quarter) and sell-off over the weekend (while gold rallies). The majority of equity returns were earned overnight and not during NYSE opening hours, at least before the crisis. The catchphrase “sell in May, go away” reliably crops up in financial newsletters every year after Easter.
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