Seasonality
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Nov is the seasonally strongest month over 5Y.
Nov averages +9.9% with a 83% win rate across 5 years of history.
Mar shows persistent seasonal weakness.
Mar averages -3.2% 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 +15.3% average return historically.
Q1 historically shows a slow seasonal start.
Q1 (Jan–Mar) averages -1.5% 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 +18.6% vs the historical average for the same point.
DD - 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 | 9.25% | 13.93% | -8.11% | -0.31% | 6.47% | -6.62% | 1.00% | 6.76% | ||||
| 2025 | 0.72% | 6.47% | -8.21% | -11.64% | 1.83% | 2.68% | 4.83% | 7.55% | 1.27% | 4.81% | 17.01% | 1.08% |
| 2024 | -19.67% | 12.57% | 10.81% | -5.44% | 13.85% | -2.03% | 3.99% | 1.12% | 5.77% | -6.87% | 1.18% | -8.78% |
| 2023 | 7.75% | -0.75% | -1.73% | -2.86% | -3.11% | 6.33% | 9.17% | -0.95% | -2.99% | -2.29% | -1.34% | 7.53% |
| 2022 | -5.17% | 1.45% | -4.90% | -10.40% | 3.42% | -18.08% | 10.78% | -9.13% | -9.42% | 13.49% | 23.86% | -2.67% |
| 2021 | 11.73% | -11.11% | 9.90% | -0.22% | 10.10% | -8.49% | -2.66% | -1.37% | -8.15% | 2.37% | 6.68% | 9.22% |
| 2020 | -15.64% | -20.51% | 37.89% | 8.55% | 4.73% | 1.21% | 4.26% | -0.50% | 2.52% | 12.05% | 12.09% | |
| Avg | 0.77% | 0.99% | -3.25% | 1.00% | 5.87% | -3.07% | 4.05% | 0.25% | -2.34% | 2.34% | 9.91% | 3.08% |
DD - Average returns for the respective month in the last 5 years
DD Distribution of Daily Returns from 2021 to 2026
DD Distribution of Daily % Changes