Seasonality
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Jul is the seasonally strongest month over 5Y.
Jul averages +5.7% with a 71% win rate across 5 years of history.
Sep shows persistent seasonal weakness.
Sep averages -5.6% with only a 17% win rate across 5 years of history.
Q4 (Oct–Nov–Dec) is the seasonally strongest quarter.
The three months of Q4 combine for a +6.0% average return historically.
Q1 historically shows a slow seasonal start.
Q1 (Jan–Mar) averages -5.0% historically, with January alone posting a 17% win rate.
2026 YTD is tracking below the 5Y seasonal average.
At day 155 of the year, the current YTD return is -11.2% 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 | -16.43% | -5.79% | 1.18% | 0.52% | -8.25% | 3.95% | 16.12% | 1.88% | ||||
| 2025 | 10.91% | 1.54% | 0.87% | -4.87% | 1.82% | -0.60% | -2.76% | -4.38% | -5.25% | -10.39% | 0.02% | -0.24% |
| 2024 | -1.36% | 1.44% | 2.96% | -8.68% | 4.16% | 5.80% | -3.23% | 1.77% | 0.37% | -3.23% | 5.34% | -8.23% |
| 2023 | -1.08% | 0.81% | 2.44% | 3.36% | -0.12% | 5.85% | 2.69% | 1.22% | -2.96% | 1.03% | 10.17% | 1.29% |
| 2022 | -11.00% | 2.53% | 5.36% | -0.36% | -5.85% | -10.80% | 10.82% | -7.81% | -10.67% | 15.45% | 5.87% | -1.55% |
| 2021 | -8.74% | -3.89% | 6.81% | 10.84% | 0.80% | 4.49% | 4.62% | -1.64% | -7.69% | 9.49% | -4.86% | 5.97% |
| 2020 | -7.85% | -11.34% | 9.55% | 15.47% | -1.41% | 11.53% | -1.22% | -7.51% | -5.89% | 14.99% | 0.96% | |
| Avg | -4.62% | -1.60% | 1.18% | 1.48% | 1.15% | 1.04% | 5.69% | -2.01% | -5.62% | 1.08% | 5.25% | -0.30% |
ROP - Average returns for the respective month in the last 5 years
ROP - Average growth of $100 invested at start of year
5 years of data
ROP Distribution of Daily Returns from 2021 to 2026
ROP Distribution of Daily % Changes