Seasonality
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Nov is the seasonally strongest month over 5Y.
Nov averages +7.5% with a 67% win rate across 5 years of history.
Oct shows persistent seasonal weakness.
Oct averages -2.7% with only a 33% win rate across 5 years of history.
Q3 (Jul–Aug–Sep) is the seasonally strongest quarter.
The three months of Q3 combine for a +13.5% average return historically.
January Effect: Q1 historically opens the year positively.
Q1 (Jan–Mar) averages +10.4% 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 +36.2% vs the historical average for the same point.
CF - Average growth of $100 invested at start of year
5 years of data
Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 20.55% | 7.34% | 30.44% | -4.34% | -9.17% | -3.64% | 15.64% | -5.02% | ||||
| 2025 | 8.08% | -11.59% | -3.54% | 0.28% | 16.42% | 1.42% | 0.90% | -6.13% | 3.54% | -7.15% | -4.95% | -1.73% |
| 2024 | -5.02% | 7.60% | 3.08% | -5.10% | 1.65% | -7.04% | 3.06% | 9.45% | 3.26% | -4.16% | 9.68% | -4.84% |
| 2023 | -0.59% | 1.87% | -15.60% | -1.26% | -13.55% | 12.86% | 18.24% | -5.63% | 11.25% | -6.95% | -5.33% | 5.79% |
| 2022 | -2.70% | 18.35% | 26.94% | -6.04% | 2.42% | -13.20% | 11.38% | 8.77% | -6.97% | 10.40% | 2.21% | -21.25% |
| 2021 | 6.90% | 10.19% | 0.22% | 7.16% | 9.95% | -3.23% | -8.16% | -3.28% | 22.90% | 1.76% | 7.18% | 16.82% |
| 2020 | -7.83% | -26.21% | 1.10% | 8.12% | -4.19% | 11.34% | 5.05% | -5.88% | -10.09% | 36.45% | 3.78% | |
| Avg | 4.54% | 3.70% | 2.19% | -1.17% | 2.26% | -2.43% | 7.49% | 1.37% | 4.68% | -2.70% | 7.54% | -0.24% |
CF - Average returns for the respective month in the last 5 years
CF Distribution of Daily Returns from 2021 to 2026
CF Distribution of Daily % Changes