Seasonality
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Jul is the seasonally strongest month over 5Y.
Jul averages +3.1% with a 86% win rate across 5 years of history.
Sep shows persistent seasonal weakness.
Sep averages -3.3% with only a 50% win rate across 5 years of history.
Q2 (Apr–May–Jun) is the seasonally strongest quarter.
The three months of Q2 combine for a +2.3% average return historically.
January Effect: Q1 historically opens the year positively.
Q1 (Jan–Mar) averages +1.2% historically, with January alone posting a 67% win rate.
2026 YTD is tracking above the 5Y seasonal average.
At day 155 of the year, the current YTD return is +16.0% vs the historical average for the same point.
D - 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 | 2.70% | 6.05% | -2.09% | 4.34% | 4.82% | 2.02% | 1.29% | -0.58% | ||||
| 2025 | 3.21% | 3.07% | -0.97% | -3.01% | 5.47% | -0.26% | 3.41% | 2.48% | 3.29% | -4.05% | 6.95% | -5.61% |
| 2024 | -2.72% | 6.08% | 2.84% | 3.64% | 7.10% | -9.12% | 9.10% | 5.82% | 3.38% | 3.01% | -0.19% | -8.32% |
| 2023 | 3.78% | -12.60% | 1.76% | 2.20% | -12.01% | 4.39% | 3.40% | -8.12% | -7.97% | -9.74% | 14.08% | 3.66% |
| 2022 | 2.67% | -1.40% | 7.74% | -3.92% | 3.16% | -4.47% | 2.72% | -0.22% | -14.82% | 1.24% | -12.66% | 1.45% |
| 2021 | -3.07% | -6.27% | 12.20% | 5.19% | -4.71% | -2.57% | 1.77% | 3.97% | -5.44% | 3.99% | -6.23% | 11.33% |
| 2020 | -7.83% | -7.66% | 6.84% | 10.22% | -3.46% | -0.18% | -3.20% | 1.83% | 1.79% | -2.30% | -3.43% | |
| Avg | 1.09% | -1.84% | 1.97% | 2.18% | 2.01% | -1.93% | 3.07% | 0.12% | -3.29% | -0.63% | -0.06% | -0.15% |
D - Average returns for the respective month in the last 5 years
D Distribution of Daily Returns from 2021 to 2026
D Distribution of Daily % Changes