Seasonality
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Nov is the seasonally strongest month over 5Y.
Nov averages +5.7% with a 100% win rate across 5 years of history.
Mar shows persistent seasonal weakness.
Mar averages -4.1% with only a 43% win rate across 5 years of history.
Q2 (Apr–May–Jun) is the seasonally strongest quarter.
The three months of Q2 combine for a +6.2% average return historically.
Q1 historically shows a slow seasonal start.
Q1 (Jan–Mar) averages -5.0% historically, with January alone posting a 33% win rate.
2026 YTD is tracking below the 5Y seasonal average.
At day 155 of the year, the current YTD return is -2.9% 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 | -0.94% | -0.65% | -8.87% | 7.54% | 1.47% | 8.43% | -3.21% | -0.41% | ||||
| 2025 | -2.01% | 9.10% | -0.56% | -6.95% | 3.24% | -3.19% | -3.10% | 2.55% | -3.69% | -6.84% | 6.90% | 4.56% |
| 2024 | -5.49% | 0.68% | 5.28% | 1.30% | 2.98% | 7.30% | 1.50% | 13.05% | -0.51% | -6.27% | 8.64% | -6.95% |
| 2023 | 10.13% | -6.86% | -7.75% | 4.97% | -5.07% | 5.19% | 0.20% | -1.35% | -11.18% | -10.26% | 6.34% | 11.14% |
| 2022 | -10.40% | 3.14% | 1.22% | -5.60% | -8.54% | -5.62% | 4.92% | -8.92% | -6.32% | -3.26% | 4.14% | -6.27% |
| 2021 | 2.23% | 1.96% | 6.32% | 9.62% | 4.07% | 6.47% | 12.60% | 0.44% | -1.16% | 10.60% | 1.29% | 8.67% |
| 2020 | -5.74% | -24.50% | 11.14% | 3.97% | 0.56% | -0.45% | 0.14% | -1.25% | 3.66% | 7.14% | 1.98% | |
| Avg | -1.08% | 0.23% | -4.12% | 3.15% | 0.30% | 2.73% | 1.78% | 0.98% | -4.02% | -2.06% | 5.74% | 2.19% |
CPT - Average returns for the respective month in the last 5 years
CPT - Average growth of $100 invested at start of year
5 years of data
CPT Distribution of Daily Returns from 2021 to 2026
CPT Distribution of Daily % Changes