Seasonality
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Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.19% | 10.31% | -0.59% | 3.74% | -5.81% | 7.50% | -6.89% | -0.73% | ||||
| 2025 | -0.72% | 11.53% | 4.26% | -0.92% | -0.26% | -2.28% | 4.49% | -1.27% | 4.33% | -4.16% | 1.10% | -5.02% |
| 2024 | -4.39% | 2.78% | 4.47% | -1.62% | 5.63% | -3.86% | 8.58% | 3.73% | 3.55% | -3.26% | 1.26% | -3.13% |
| 2023 | -0.99% | -5.72% | 0.72% | 2.62% | -4.28% | 3.12% | 3.89% | -9.55% | -3.10% | -2.92% | 8.02% | 6.88% |
| 2022 | 0.74% | 0.96% | 9.49% | -0.89% | 1.27% | -3.78% | 2.80% | 0.03% | -11.13% | -2.56% | 3.48% | 2.13% |
| 2021 | -2.22% | -0.84% | 14.08% | 5.17% | -1.45% | -5.32% | 6.37% | 2.57% | -6.52% | 1.47% | -4.42% | 11.16% |
| 2020 | -15.79% | -14.00% | 9.23% | 3.69% | 0.91% | 7.56% | 2.63% | -2.21% | 7.28% | 1.94% | -2.64% | |
| Avg | -0.56% | 0.46% | 2.63% | 2.48% | -0.17% | -0.53% | 3.83% | -0.31% | -2.51% | -0.69% | 1.90% | 1.56% |
Jul is the seasonally strongest month over 5Y.
Jul averages +3.8% with a 86% win rate across 5 years of history.
Sep shows persistent seasonal weakness.
Sep averages -2.5% with only a 33% win rate across 5 years of history.
Q4 (Oct–Nov–Dec) is the seasonally strongest quarter.
The three months of Q4 combine for a +2.8% average return historically.
January Effect: Q1 historically opens the year positively.
Q1 (Jan–Mar) averages +2.5% historically, with January alone posting a 33% win rate.
2026 YTD is tracking above the 5Y seasonal average.
At day 155 of the year, the current YTD return is +2.3% vs the historical average for the same point.
DTE - Average growth of $100 invested at start of year
5 years of data
DTE - Average returns for the respective month in the last 5 years
DTE Distribution of Daily Returns from 2021 to 2026
DTE Distribution of Daily % Changes