Skip to content

AON Monthly Seasonal Trading Strategy 674%


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%…


StrategyBuy and Hold
Start Date2003-01-022003-01-02
End Date2022-12-302022-12-30
Duration7302 days7302 days
Exposure Time [%]25.1499.96
Equity Final [$]77412.01199635.11
Equity Peak [$]81711.08218245.52
Return [%]674.121896.35
Return (Ann.) [%]10.7916.17
Volatility (Ann.) [%]13.7229.49
Sharpe Ratio0.790.55
Sortino Ratio1.440.95
Calmar Ratio0.590.42
Max. Drawdown [%]-18.4-38.72
Avg. Drawdown [%]-3.03-3.51
Max. Drawdown Duration627 days1158 days
Avg. Drawdown Duration66 days37 days
# Trades601
Win Rate [%]78.33100.0
Best Trade [%]15.751898.08
Worst Trade [%]-11.391898.08
Avg. Trade [%]3.471898.08
Max. Trade Duration33 days7300 days
Avg. Trade Duration30 days7300 days
Profit Factor5.03nan
Expectancy [%]3.631898.08

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…



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.