From seasons to signals: A macro and systematic guide to FX seasonality

Research evidence excerpt

From seasons to signals: A macro and systematic guide to FX seasonality

J P M O R G A N Global Markets Strategy

06 July 2026

From seasons to signals

A macro and systematic guide to FX seasonality

• This note is structured in two parts: Part 1 catalogues all notable G10 FX Global FX Strategy

AC seasonality patterns and their known or suspected macro drivers. Part 2 Octavia Popescu

presents a systematic approach to constructing weekly seasonality signals (44-20) 3493-5654

out-of-sample, and tests if these signals have held up over time on both a time- octavia.popescu@jpmorgan.com

series and cross-sectional basis. Joyce Lai AC

• Main G10 take-aways from the macro lens: Consistent patterns with (44-20)joyce.lai@jpmorgan.com3493-5891

credible explanations include SEK weakness in mid-Mar to Apr (dividends)

Antonin T Delair

and strength in late Dec (fiscal year-end), NOK weakness in Nov (oil), CHF (44-20) 7134-4643

strength in Jun/Dec (bank balance sheet repatriation), and NZD weakness in antonin.t.delair@jpmorgan.com

Aug (trade balance low). J.P. Morgan Securities plc

• Main take-aways from the systematic lens: Trading seasonality

systematically has not generated consistent returns over time. Our

benchmark signals were generally effective in capturing FX cross-sectional

returns pre-2020 (risk-adj returns: +0.37), but have yielded negative returns

post-2020 (risk-adj returns: -0.27)…

• … but we still see merit in tracking pair-specific weekly seasonal effects on

a time-series basis, despite the fact that seasonality signals do not work

consistently as a cross-sectional factor over time. We highlight the weeks that

hold up both pre- and post-2020 as a practical calendar risk map for monitoring

specific FX seasonality.