Seasonality
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Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.36% | 3.77% | -15.59% | -1.95% | -12.35% | 5.06% | 10.02% | 0.99% | ||||
| 2025 | 13.14% | -0.04% | 9.68% | 5.24% | -0.30% | 2.96% | -4.59% | 2.12% | 7.17% | 8.09% | 9.39% | -8.45% |
| 2024 | 13.29% | 1.47% | 3.14% | -1.62% | -5.00% | -0.56% | 5.58% | 0.93% | -6.05% | 1.33% | 10.54% | -10.68% |
| 2023 | 1.96% | -7.65% | 2.92% | 4.21% | 2.27% | 13.09% | -2.87% | -5.60% | 2.27% | 2.88% | 10.13% | 0.99% |
| 2022 | 2.49% | 4.99% | 8.55% | -2.21% | 2.62% | -8.60% | 3.15% | 0.74% | -7.66% | 16.18% | 8.90% | -2.92% |
| 2021 | 6.59% | -2.46% | 17.86% | 2.31% | -4.67% | 0.90% | 6.71% | 0.40% | -1.22% | 2.15% | -4.79% | 16.08% |
| 2020 | -1.02% | 6.55% | 1.31% | 6.87% | 7.01% | -0.58% | -2.76% | 1.15% | -0.88% | 7.77% | -3.97% | |
| Avg | 7.31% | -0.13% | 4.73% | 1.04% | -1.51% | 2.84% | 2.49% | -0.69% | -0.72% | 4.96% | 6.99% | -1.49% |
Jan is the seasonally strongest month over 5Y.
Jan averages +7.3% with a 100% win rate across 5 years of history.
May shows persistent seasonal weakness.
May averages -1.5% with only a 43% win rate across 5 years of history.
Q1 (Jan–Feb–Mar) is the seasonally strongest quarter.
The three months of Q1 combine for a +11.9% average return historically.
January Effect: Q1 historically opens the year positively.
Q1 (Jan–Mar) averages +11.9% historically, with January alone posting a 100% win rate.
2026 YTD is tracking below the 5Y seasonal average.
At day 155 of the year, the current YTD return is -23.3% vs the historical average for the same point.
COR - Average growth of $100 invested at start of year
5 years of data
COR - Average returns for the respective month in the last 5 years
COR Distribution of Daily Returns from 2021 to 2026
COR Distribution of Daily % Changes