Systematic Strategies' Kinlay: The Lazarus Trade

​A perennial favorite with investors, presumably because they are easy to understand and implement, are trades based on a regularly occurring pattern, preferably one that is seasonal in nature. A well-known example is the Christmas effect, wherein equities generally make their highest risk-adjusted returns during the month of December (and equity indices make the greater proportion of their annual gains in the period from November to January). As we approach the Easter holiday I thought I might join in the fun with a trade of my own.