Seasonality
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ES - Average returns for the respective month in the last 5 years
Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.67% | 10.24% | -8.13% | 2.05% | -2.29% | 5.86% | -0.94% | 1.08% | ||||
| 2025 | 0.44% | 9.24% | -0.24% | -4.23% | 10.31% | -1.84% | 3.90% | -3.07% | 12.30% | 3.75% | -8.98% | 1.35% |
| 2024 | -12.15% | 8.26% | 3.08% | 1.42% | -1.13% | -4.25% | 14.46% | 4.04% | 1.85% | -3.23% | -2.07% | -9.85% |
| 2023 | -1.80% | -8.47% | 4.79% | -0.83% | -9.98% | 2.44% | 1.99% | -11.77% | -7.91% | -7.50% | 10.45% | 5.00% |
| 2022 | -1.64% | -8.59% | 8.67% | -0.90% | 6.38% | -8.50% | 4.44% | 1.67% | -12.44% | -2.15% | 8.63% | 1.94% |
| 2021 | 1.14% | -9.17% | 9.77% | -0.43% | -5.16% | -1.17% | 7.51% | 5.17% | -9.26% | 3.84% | -3.10% | 11.33% |
| 2020 | -6.47% | -8.99% | 3.18% | 4.46% | -0.51% | 8.17% | -4.84% | -1.86% | 4.45% | 0.28% | -0.48% | |
| Avg | -1.89% | -0.71% | 1.28% | 0.04% | 0.37% | -1.14% | 5.65% | -1.47% | -2.89% | -0.14% | 0.87% | 1.55% |
ES - Average growth of $100 invested at start of year
5 years of data
Jul is the seasonally strongest month over 5Y.
Jul averages +5.6% with a 86% win rate across 5 years of history.
Sep shows persistent seasonal weakness.
Sep averages -2.9% 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 +2.3% average return historically.
Q1 historically shows a slow seasonal start.
Q1 (Jan–Mar) averages -1.3% historically, with January alone posting a 50% win rate.
2026 YTD is tracking above the 5Y seasonal average.
At day 155 of the year, the current YTD return is +8.4% vs the historical average for the same point.
ES Distribution of Daily Returns from 2021 to 2026
ES Distribution of Daily % Changes