Januário, AfonsoWalch, David2026-05-292026-05-292026-01-232026-01-23http://hdl.handle.net/10362/203567This study examines whether combining distinct seasonality drivers across macroeconomic factors such as monetary policy, microeconomic factors such as earnings announcement intensity, and historical equity return patterns can improve systematic trading performance. While the combined signal historically delivered stronger risk-adjusted returns than its individual components and a buy-and-hold benchmark, its effectiveness declines sharply in recent decades. The results suggest that those market anomalies have weakened over time, consistent with rising market efficiency. These results are in line with research showing that that return anomalies tend to diminish as they attract attention and are arbitraged away by market participants.engCalendar effectsSeasonal momentumSystematic trading strategiesMarket efficiencyPost-earnings announcement drift (PEAD)Pre-FOMC driftmaster thesis204242517