Seasonality
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Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 10.43% | 6.14% | -15.46% | -5.68% | -8.28% | 10.58% | -3.55% | 3.39% | ||||
| 2025 | -0.83% | -1.22% | -1.68% | 4.35% | -5.23% | 1.96% | 8.48% | 0.71% | 2.97% | -9.62% | -0.02% | 1.36% |
| 2024 | -5.49% | 6.82% | 7.91% | -7.04% | 0.97% | -2.22% | 4.38% | -1.55% | 7.30% | -16.02% | -0.81% | -8.43% |
| 2023 | 18.86% | -3.06% | 5.36% | -0.80% | -6.37% | 13.83% | 0.20% | -0.18% | -8.79% | 5.99% | 8.03% | 9.39% |
| 2022 | -10.65% | -10.26% | -6.84% | -8.14% | 2.89% | -9.05% | 16.25% | -10.78% | -13.94% | 13.42% | 10.88% | -5.76% |
| 2021 | -0.46% | 9.34% | 13.88% | 0.60% | 4.90% | 1.39% | -2.03% | 3.40% | -16.02% | 20.17% | 8.18% | 8.60% |
| 2020 | -7.36% | -4.40% | 12.71% | 12.08% | -0.80% | 2.63% | 1.72% | 7.82% | -1.61% | 8.94% | -2.65% | |
| Avg | 1.98% | 0.06% | -0.18% | -0.57% | 0.14% | 2.24% | 3.76% | -1.11% | -3.44% | 2.06% | 5.87% | 0.42% |
Nov is the seasonally strongest month over 5Y.
Nov averages +5.9% with a 67% win rate across 5 years of history.
Sep shows persistent seasonal weakness.
Sep averages -3.4% with only a 50% win rate across 5 years of history.
Q4 (Oct–Nov–Dec) is the seasonally strongest quarter.
The three months of Q4 combine for a +8.3% average return historically.
January Effect: Q1 historically opens the year positively.
Q1 (Jan–Mar) averages +1.9% historically, with January alone posting a 33% win rate.
2026 YTD is tracking below the 5Y seasonal average.
At day 155 of the year, the current YTD return is -10.8% vs the historical average for the same point.
AOS - Average returns for the respective month in the last 5 years
AOS - Average growth of $100 invested at start of year
5 years of data
AOS Distribution of Daily Returns from 2021 to 2026
AOS Distribution of Daily % Changes