Calendar Effects in Long-Term Treasuries: TLT Seasonal Trading Strategies Revealed (End of Month Insights)

Calendar effects are pretty well known in the stock market, but it’s not many articles out there about calendar effects in long-term Treasuries (TLT). TLT seasonal trading strategies are hard to come by on the internet, but below you get some ideas where to go.

In this article, we look at some specific calendar effects in long-term Treasuries. We backtest some calendar effects by using the ETF with the ticker code TLT which tracks the 20 year Treasury bonds. It turns out the first seven trading days of the month produce strong negative returns, while the rest of the month has doubled the returns of buying and holding the TLT.

At the end of the article, you find the whole Python code for the two strategies in this article.

What is a calendar effect?

Every asset has certain effects that seem to persist over time. One famous calendar effect is the end-of-month effect in stocks, for example. The few days at the end of the month have produced significantly stronger returns than the rest of the month in the stock market.