Seasonality
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Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -20.10% | -21.46% | -4.74% | 3.97% | -8.61% | -16.14% | -0.22% | -21.62% | ||||
| 2025 | 0.98% | -40.75% | -22.18% | -1.99% | 40.26% | -4.29% | 20.79% | -37.14% | -10.34% | 2.59% | -21.32% | -4.04% |
| 2024 | -4.91% | 24.84% | 2.33% | -5.23% | 11.99% | 5.27% | -7.98% | 16.30% | 4.90% | 9.63% | 6.94% | -8.57% |
| 2023 | 13.09% | 10.37% | 8.85% | 5.63% | 8.92% | 10.19% | 18.18% | -12.31% | -2.35% | -9.20% | -0.70% | 2.13% |
| 2022 | -24.12% | 22.69% | -18.84% | -14.92% | -11.66% | -19.52% | 7.42% | 39.33% | -4.70% | -10.90% | -2.07% | -14.02% |
| 2021 | -4.37% | 5.14% | -19.09% | 11.92% | -19.36% | 31.53% | 5.88% | -2.27% | -12.18% | 6.56% | 38.06% | -11.39% |
| 2020 | 6.71% | -32.81% | 51.60% | 6.49% | 30.47% | 11.03% | 6.64% | 7.79% | 9.19% | 59.07% | -11.11% | |
| Avg | -6.57% | 1.08% | -12.36% | 7.28% | 4.00% | 5.36% | 7.87% | 1.76% | -2.81% | 1.31% | 13.33% | -7.83% |
Nov is the seasonally strongest month over 5Y.
Nov averages +13.3% with a 50% win rate across 5 years of history.
Mar shows persistent seasonal weakness.
Mar averages -12.4% 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 +16.6% average return historically.
Q1 historically shows a slow seasonal start.
Q1 (Jan–Mar) averages -17.8% historically, with January alone posting a 33% win rate.
2026 YTD is tracking below the 5Y seasonal average.
At day 155 of the year, the current YTD return is -62.1% vs the historical average for the same point.
TTD - Average returns for the respective month in the last 5 years
TTD - Average growth of $100 invested at start of year
5 years of data
TTD Distribution of Daily Returns from 2021 to 2026
TTD Distribution of Daily % Changes