The main focus of this paper is to show that calendar/seasonal anomalies are well-working even in the most recent periods and, additionally, to find a way how to combine them in a search for profit from the practitioner's point of view. This paper is a case study of possible usage of following...

This paper examines the relationship between the skewness in returns and future expected returns across different asset classes. At first, a relation for each of three asset classes (currencies, equities, bonds) is revised by building skew-based long/short portfolio from the investment universe...