Seasonality
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Nov is the seasonally strongest month over 5Y.
Nov averages +5.3% with a 83% win rate across 5 years of history.
Jun shows persistent seasonal weakness.
Jun averages -4.4% with only a 29% win rate across 5 years of history.
Q4 (Oct–Nov–Dec) is the seasonally strongest quarter.
The three months of Q4 combine for a +8.0% average return historically.
January Effect: Q1 historically opens the year positively.
Q1 (Jan–Mar) averages +5.7% 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 -5.0% vs the historical average for the same point.
CME - 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 | 5.85% | 10.53% | -5.35% | -2.55% | -4.96% | -18.85% | 21.27% | 0.75% | ||||
| 2025 | 1.85% | 7.29% | 5.06% | 4.44% | 4.30% | -4.19% | 0.97% | -4.23% | 1.87% | -1.74% | 6.02% | -2.53% |
| 2024 | -2.26% | 7.05% | -1.78% | -2.62% | -3.18% | -2.59% | -1.47% | 11.37% | 2.81% | 2.13% | 5.61% | 0.48% |
| 2023 | 5.05% | 4.92% | 3.95% | -3.00% | -3.78% | 4.29% | 7.38% | 1.87% | -0.68% | 6.61% | 2.30% | -0.63% |
| 2022 | 0.46% | 3.06% | 1.02% | -7.79% | -9.35% | 3.47% | -2.55% | -1.94% | -8.99% | -2.16% | 1.85% | -1.63% |
| 2021 | -0.17% | 9.88% | 2.70% | -1.10% | 8.30% | -2.38% | -0.26% | -4.91% | -3.69% | 14.05% | -0.01% | 5.50% |
| 2020 | -8.42% | -12.69% | 3.07% | 2.46% | -10.59% | 2.24% | 5.83% | -4.38% | -9.92% | 16.13% | 5.96% | |
| Avg | 1.80% | 4.90% | -1.01% | -1.36% | -0.89% | -4.41% | 3.94% | 1.33% | -2.18% | 1.50% | 5.31% | 1.19% |
CME - Average returns for the respective month in the last 5 years
CME Distribution of Daily Returns from 2021 to 2026
CME Distribution of Daily % Changes