Seasonality
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Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.96% | 15.12% | -18.33% | 15.25% | -6.12% | 14.37% | -27.41% | 1.47% | ||||
| 2025 | -2.77% | 1.46% | -6.69% | -2.30% | 3.24% | 1.79% | 6.24% | -8.40% | -4.87% | -4.60% | -1.21% | -2.41% |
| 2024 | -4.33% | 10.05% | 3.96% | -5.18% | 8.45% | 6.67% | 9.07% | 1.15% | 2.58% | -0.28% | 10.71% | -8.50% |
| 2023 | 8.94% | -2.22% | -0.96% | 12.19% | -2.27% | 18.76% | 12.69% | 2.85% | -0.63% | -1.04% | 9.75% | 10.32% |
| 2022 | -12.56% | -5.88% | -3.07% | -17.32% | -2.01% | -0.59% | 15.94% | 0.69% | -7.27% | 4.90% | 11.50% | -7.73% |
| 2021 | 0.55% | 1.55% | 11.64% | 7.62% | 4.35% | 0.52% | -6.09% | 1.75% | -11.97% | 1.74% | 3.25% | 5.26% |
| 2020 | -2.08% | -19.98% | 2.69% | 14.55% | 9.33% | 15.09% | 4.55% | -2.48% | -0.35% | 5.95% | -4.54% | |
| Avg | -1.37% | 2.57% | -4.78% | 1.85% | 2.88% | 7.26% | 3.65% | 0.43% | -4.10% | 0.06% | 6.66% | -1.27% |
Jun is the seasonally strongest month over 5Y.
Jun averages +7.3% with a 86% win rate across 5 years of history.
Mar shows persistent seasonal weakness.
Mar averages -4.8% with only a 29% win rate across 5 years of history.
Q2 (Apr–May–Jun) is the seasonally strongest quarter.
The three months of Q2 combine for a +12.0% average return historically.
Q1 historically shows a slow seasonal start.
Q1 (Jan–Mar) averages -3.6% historically, with January alone posting a 50% win rate.
2026 YTD is tracking below the 5Y seasonal average.
At day 155 of the year, the current YTD return is -19.5% vs the historical average for the same point.
LII - Average growth of $100 invested at start of year
5 years of data
LII Distribution of Daily Returns from 2021 to 2026
LII Distribution of Daily % Changes
LII - Average returns for the respective month in the last 5 years