Investors are often on the lookout for patterns that can help them make smarter decisions. In the realm of seasonal investment strategies, we uncover a compelling approach using the case of AON…
Company Overview
AON, a leading global professional services firm providing a broad range of risk, retirement, and health solutions, stands out with its innovative approach…
Strategy Overview
The trading strategy in question focuses on a monthly seasonality from close-to-close, targeting specific months for long positions. The strategy spans from January 2003 to December 2022, a total of 7302 days, with an exposure time of approximately 25.14%…
Key Performance Indicators
The strategy’s equity final tallied up to $77,412.01, with an equity peak of $81,711.08. Overall, it returned 674.12%, in contrast to the buy & hold return of 1932.29%…
| Strategy | Buy and Hold | |
|---|---|---|
| Start Date | 2003-01-02 | 2003-01-02 |
| End Date | 2022-12-30 | 2022-12-30 |
| Duration | 7302 days | 7302 days |
| Exposure Time [%] | 25.14 | 99.96 |
| Equity Final [$] | 77412.01 | 199635.11 |
| Equity Peak [$] | 81711.08 | 218245.52 |
| Return [%] | 674.12 | 1896.35 |
| Return (Ann.) [%] | 10.79 | 16.17 |
| Volatility (Ann.) [%] | 13.72 | 29.49 |
| Sharpe Ratio | 0.79 | 0.55 |
| Sortino Ratio | 1.44 | 0.95 |
| Calmar Ratio | 0.59 | 0.42 |
| Max. Drawdown [%] | -18.4 | -38.72 |
| Avg. Drawdown [%] | -3.03 | -3.51 |
| Max. Drawdown Duration | 627 days | 1158 days |
| Avg. Drawdown Duration | 66 days | 37 days |
| # Trades | 60 | 1 |
| Win Rate [%] | 78.33 | 100.0 |
| Best Trade [%] | 15.75 | 1898.08 |
| Worst Trade [%] | -11.39 | 1898.08 |
| Avg. Trade [%] | 3.47 | 1898.08 |
| Max. Trade Duration | 33 days | 7300 days |
| Avg. Trade Duration | 30 days | 7300 days |
| Profit Factor | 5.03 | nan |
| Expectancy [%] | 3.63 | 1898.08 |
| SQN | 3.23 | nan |
Risk Management
The annualized volatility of the strategy was 13.72%, with a Sharpe Ratio of 0.786. The maximum drawdown experienced was -18.40%, with an average drawdown of -3.03%…
Trade Analysis
Over the course of the backtesting period, 60 trades were executed with a win rate of 78.33%. The best trade yielded a 15.75% return while the worst trade saw an -11.39% return…
Conclusion
In conclusion, the monthly seasonality trading strategy for AON presents an interesting case for investors looking for systematic trading patterns. While it may not outperform a buy & hold strategy in terms of raw returns, its risk-adjusted returns tell a different story.
“Make the invisible visible. My goal is to shine a light on the subtle seasonal signals in the stock market, providing investors with the insight needed to make informed decisions. By breaking down the complexities of seasonality, I strive to empower our audience with knowledge and foresight, turning data into action.”