Winter months SAD for U.S. Treasury securities, study reveals
The best time to invest in U.S. Treasury securities may be spring, thanks to seasonal variations in investor risk tolerance linked to depression, new research says.
A team of finance researchers found that the monthly return on those securities showed an average swing of 80 basis points between October – when returns peaked – and April, when they bottomed out.
“Maybe it seems like a small number, but in the world of Treasuries, that kind of a systematic difference is huge,” says study co-author Lisa Kramer, an associate professor at the University of Toronto Mississauga, who is cross appointed to the University’s Rotman School of Management.