Seasonality
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Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 9.09% | 6.80% | -10.25% | 9.86% | -4.10% | 7.28% | -0.10% | 5.41% | ||||
| 2025 | 2.39% | 2.57% | -8.90% | -1.49% | 5.40% | 1.42% | 2.15% | -0.03% | 1.90% | 7.51% | -2.09% | 3.91% |
| 2024 | -1.72% | 11.19% | 1.67% | -4.51% | -2.91% | -1.53% | 4.06% | -1.40% | 0.55% | 6.77% | 6.02% | -7.13% |
| 2023 | 3.72% | -2.32% | 2.85% | -5.09% | 5.18% | 11.77% | -2.03% | 0.57% | -7.21% | -4.73% | 10.27% | 6.39% |
| 2022 | -6.98% | -5.10% | 2.79% | -5.20% | -3.79% | -9.37% | 12.39% | -2.70% | -5.45% | 14.33% | 9.84% | -1.74% |
| 2021 | -6.35% | 4.16% | 8.45% | 5.64% | 0.13% | -1.04% | 4.16% | -2.21% | -8.66% | 6.77% | 3.10% | 7.88% |
| 2020 | -11.48% | -16.06% | 16.45% | 9.35% | -2.36% | 4.34% | 7.99% | -1.11% | -1.21% | 20.70% | 2.19% | |
| Avg | 0.02% | 0.83% | -2.78% | 2.24% | 1.32% | 0.88% | 3.57% | 0.37% | -3.33% | 4.91% | 7.97% | 1.92% |
Nov is the seasonally strongest month over 5Y.
Nov averages +8.0% with a 83% win rate across 5 years of history.
Sep shows persistent seasonal weakness.
Sep averages -3.3% with only a 33% win rate across 5 years of history.
Q4 (Oct–Nov–Dec) is the seasonally strongest quarter.
The three months of Q4 combine for a +14.8% average return historically.
Q1 historically shows a slow seasonal start.
Q1 (Jan–Mar) averages -1.9% historically, with January alone posting a 50% win rate.
2026 YTD is tracking above the 5Y seasonal average.
At day 155 of the year, the current YTD return is +19.9% vs the historical average for the same point.
AME - Average growth of $100 invested at start of year
5 years of data
AME Distribution of Daily Returns from 2021 to 2026
AME Distribution of Daily % Changes
AME - Average returns for the respective month in the last 5 years