Seasonality
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Nov is the seasonally strongest month over 5Y.
Nov averages +7.3% with a 83% win rate across 5 years of history.
Sep shows persistent seasonal weakness.
Sep averages -2.8% with only a 33% win rate across 5 years of history.
Q1 (Jan–Feb–Mar) is the seasonally strongest quarter.
The three months of Q1 combine for a +12.2% average return historically.
January Effect: Q1 historically opens the year positively.
Q1 (Jan–Mar) averages +12.2% 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 +23.3% 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 | 13.41% | 19.26% | -10.28% | 4.72% | -8.08% | 17.30% | -6.57% | 2.73% | ||||
| 2025 | 12.48% | 0.89% | -2.04% | -1.23% | 9.21% | 0.76% | 3.12% | -8.72% | -4.13% | 0.96% | 0.62% | 0.58% |
| 2024 | -1.57% | -7.25% | 12.93% | -4.71% | -4.25% | 0.09% | -0.44% | 3.70% | 8.57% | -3.03% | 15.13% | -8.71% |
| 2023 | -1.38% | -0.85% | -1.21% | -8.44% | -8.48% | 17.48% | 6.02% | -4.34% | -7.84% | -3.19% | -0.26% | 10.13% |
| 2022 | 9.77% | -4.35% | 15.69% | -9.12% | -5.24% | -15.99% | 14.60% | 6.43% | -8.29% | 18.55% | 11.41% | -2.50% |
| 2021 | 7.34% | 20.89% | 7.43% | -0.88% | -2.63% | -2.07% | 2.52% | 4.55% | -11.10% | 2.16% | 0.94% | -0.46% |
| 2020 | -1.32% | -11.21% | 4.99% | 4.87% | 3.84% | 12.19% | 19.14% | 5.87% | 1.93% | 15.81% | 3.14% | |
| Avg | 6.67% | 3.89% | 1.62% | -2.10% | -2.09% | 3.06% | 4.49% | 3.46% | -2.82% | 2.90% | 7.28% | 0.36% |
DE - Average returns for the respective month in the last 5 years
DE - Average growth of $100 invested at start of year
5 years of data
DE Distribution of Daily Returns from 2021 to 2026
DE Distribution of Daily % Changes