Seasonality
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STE - Average growth of $100 invested at start of year
5 years of data
May is the seasonally strongest month over 5Y.
May averages +4.4% with a 71% win rate across 5 years of history.
Sep shows persistent seasonal weakness.
Sep averages -2.3% with only a 50% win rate across 5 years of history.
Q4 (Oct–Nov–Dec) is the seasonally strongest quarter.
The three months of Q4 combine for a +4.6% average return historically.
January Effect: Q1 historically opens the year positively.
Q1 (Jan–Mar) averages +0.4% 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 -12.3% 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 | 3.58% | -3.66% | -12.37% | -1.92% | -1.91% | -0.72% | 8.47% | 2.14% | ||||
| 2025 | 7.34% | -0.37% | 3.37% | -0.84% | 9.11% | -1.80% | -5.72% | 8.20% | 1.23% | -4.74% | 12.97% | -4.79% |
| 2024 | -0.41% | 6.61% | -3.47% | -9.01% | 8.96% | -1.27% | 8.75% | 0.98% | 0.84% | -8.53% | -1.00% | -6.16% |
| 2023 | 11.81% | -8.72% | 1.73% | -1.43% | 6.06% | 12.76% | 0.25% | 1.79% | -4.21% | -4.30% | -4.06% | 9.41% |
| 2022 | -7.81% | 7.16% | 0.74% | -7.33% | 1.85% | -9.49% | 9.46% | -10.76% | -17.23% | 3.79% | 7.93% | -0.57% |
| 2021 | -1.28% | -6.37% | 8.97% | 10.78% | -9.37% | 8.09% | 5.65% | -1.35% | -4.80% | 14.42% | -6.33% | 11.39% |
| 2020 | 5.49% | -11.76% | 1.81% | 16.41% | -7.29% | 4.03% | 0.27% | 10.37% | 0.57% | 9.60% | -2.20% | |
| Avg | 2.21% | 0.02% | -1.83% | -1.13% | 4.44% | 0.04% | 4.41% | -0.14% | -2.30% | 0.20% | 3.19% | 1.18% |
STE Distribution of Daily Returns from 2021 to 2026
STE Distribution of Daily % Changes
STE - Average returns for the respective month in the last 5 years