Seasonality
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AFL - Average growth of $100 invested at start of year
5 years of data
Nov is the seasonally strongest month over 5Y.
Nov averages +10.3% with a 100% win rate across 5 years of history.
Feb shows persistent seasonal weakness.
Feb averages -2.5% with only a 43% win rate across 5 years of history.
Q4 (Oct–Nov–Dec) is the seasonally strongest quarter.
The three months of Q4 combine for a +10.9% average return historically.
Q1 historically shows a slow seasonal start.
Q1 (Jan–Mar) averages -0.6% historically, with January alone posting a 100% win rate.
2026 YTD is tracking above the 5Y seasonal average.
At day 155 of the year, the current YTD return is +3.3% vs the historical average for the same point.
Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.62% | 2.33% | -2.85% | 3.61% | -0.59% | 4.30% | 8.72% | -4.73% | ||||
| 2025 | 3.81% | 2.52% | 1.57% | -2.26% | -4.20% | 1.85% | -5.78% | 8.14% | 4.53% | -4.04% | 3.45% | -0.04% |
| 2024 | 2.23% | -3.66% | 6.34% | -2.57% | 8.05% | -0.62% | 6.80% | 16.26% | 1.30% | -6.27% | 9.28% | -9.26% |
| 2023 | 2.17% | -6.73% | -5.33% | 8.26% | -7.49% | 8.71% | 3.64% | 3.67% | 2.92% | 1.77% | 6.44% | -0.25% |
| 2022 | 7.59% | -2.14% | 5.40% | -11.04% | 6.50% | -8.65% | 3.56% | 4.37% | -5.42% | 15.85% | 11.12% | 0.01% |
| 2021 | 1.60% | 6.75% | 6.87% | 4.98% | 6.11% | -5.33% | 2.50% | 3.65% | -8.03% | 2.95% | 1.46% | 7.85% |
| 2020 | -16.47% | -20.09% | 8.76% | -1.27% | -1.21% | -1.28% | 2.88% | 0.08% | -6.60% | 30.24% | 1.23% | |
| Avg | 3.00% | -2.49% | -1.16% | 1.39% | 1.02% | -0.14% | 2.59% | 6.49% | -0.77% | 0.61% | 10.33% | -0.08% |
AFL - Average returns for the respective month in the last 5 years
AFL Distribution of Daily Returns from 2021 to 2026
AFL Distribution of Daily % Changes