Seasonality
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Nov is the seasonally strongest month over 5Y.
Nov averages +4.0% with a 83% win rate across 5 years of history.
Sep shows persistent seasonal weakness.
Sep averages -4.4% with only a 0% win rate across 5 years of history.
Q4 (Oct–Nov–Dec) is the seasonally strongest quarter.
The three months of Q4 combine for a +6.2% average return historically.
Q1 historically shows a slow seasonal start.
Q1 (Jan–Mar) averages -0.6% historically, with January alone posting a 33% win rate.
2026 YTD is tracking above the 5Y seasonal average.
At day 155 of the year, the current YTD return is +18.4% 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 | 14.96% | 9.80% | -14.03% | 0.78% | 5.59% | 1.72% | 0.16% | 0.71% | ||||
| 2025 | -4.09% | 5.16% | 2.77% | -1.06% | 0.81% | -2.19% | -7.20% | 0.26% | -4.91% | -2.97% | 4.33% | -1.70% |
| 2024 | 6.26% | 2.76% | 4.08% | 2.67% | 1.13% | 4.39% | 2.74% | 7.37% | -2.53% | -9.28% | 3.12% | -5.92% |
| 2023 | -4.81% | -1.65% | 2.52% | 6.87% | -6.79% | 3.58% | -0.39% | -3.66% | -3.21% | 6.34% | 4.86% | 1.19% |
| 2022 | -2.86% | -6.67% | -1.46% | 2.20% | 2.28% | 1.69% | -1.15% | -0.67% | -10.18% | 5.80% | 4.93% | 1.69% |
| 2021 | -8.27% | -3.59% | 4.83% | 2.95% | 3.82% | -2.90% | -1.75% | -1.95% | -3.04% | 1.42% | -1.54% | 13.76% |
| 2020 | -8.42% | -1.79% | 6.54% | 2.93% | 1.29% | 6.00% | 2.67% | -2.66% | 2.82% | 8.56% | -0.15% | |
| Avg | 0.20% | -0.37% | -0.44% | 2.99% | 1.40% | 1.08% | -0.23% | 0.67% | -4.42% | 0.69% | 4.04% | 1.48% |
CL - Average growth of $100 invested at start of year
5 years of data
CL - Average returns for the respective month in the last 5 years
CL Distribution of Daily Returns from 2021 to 2026
CL Distribution of Daily % Changes