Seasonality
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CI - Average growth of $100 invested at start of year
5 years of data
Nov is the seasonally strongest month over 5Y.
Nov averages +3.8% with a 67% win rate across 5 years of history.
Sep shows persistent seasonal weakness.
Sep averages -2.5% with only a 17% win rate across 5 years of history.
Q4 (Oct–Nov–Dec) is the seasonally strongest quarter.
The three months of Q4 combine for a +7.6% average return historically.
January Effect: Q1 historically opens the year positively.
Q1 (Jan–Mar) averages +3.9% historically, with January alone posting a 67% win rate.
2026 YTD is tracking below the 5Y seasonal average.
At day 155 of the year, the current YTD return is -4.9% 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 | -0.41% | 5.73% | -7.45% | 8.93% | -4.54% | -0.04% | 1.22% | 1.26% | ||||
| 2025 | 6.54% | 4.98% | 7.05% | 3.36% | -6.88% | 4.91% | -19.12% | 12.53% | -3.71% | -15.21% | 13.45% | -0.18% |
| 2024 | 0.50% | 11.69% | 8.50% | -1.69% | -3.48% | -3.68% | 5.48% | 3.77% | -3.88% | -9.13% | 7.30% | -17.91% |
| 2023 | -4.43% | -7.76% | -12.15% | -0.88% | -2.32% | 13.95% | 5.17% | -6.38% | 4.01% | 8.09% | -14.98% | 14.45% |
| 2022 | 0.36% | 3.18% | 1.25% | 2.99% | 8.72% | -1.35% | 4.49% | 2.94% | -1.73% | 16.43% | 1.80% | 1.09% |
| 2021 | 4.26% | -3.29% | 15.66% | 3.01% | 3.95% | -8.05% | -3.20% | -7.77% | -4.99% | 6.72% | -10.16% | 20.26% |
| 2020 | -4.91% | -3.13% | 10.50% | 0.79% | -4.90% | -7.97% | 2.71% | -4.49% | -1.44% | 25.26% | -0.46% | |
| Avg | 1.14% | 1.37% | 1.39% | 3.75% | -0.54% | 0.12% | -1.99% | 1.30% | -2.46% | 0.91% | 3.78% | 2.88% |
CI Distribution of Daily Returns from 2021 to 2026
CI Distribution of Daily % Changes
CI - Average returns for the respective month in the last 5 years