The seasonal returns chart highlights recurring trends in performance over specific months of the year, offering insights into potential price movements. Historical data is presented back to 2010, where available.
Investors use seasonality to identify patterns and inform their decisions, but it's essential to remember that these patterns reflect past data and may not predict future performance.
By analyzing the percentage of positive months and average gains or losses, traders can identify above-average tendencies. Caution is advised, however, as relying solely on seasonality can lead to missed opportunities or increased risks.
For Seasonal Returns, for stocks and other instruments, if applicable, we calculate based on total return which is dividend adjusted data. Futures returns are based on nearby back-adjusted data, using the most active contract as the front month.
The top row within the seasonal matrix reflects the seasonal average monthly return, which is an average of each of the calendar months over each of the years featured within the seasonal matrix. For example, to calculate the average return for January, we sum up the January returns for each of the years featured and divide by the number of years. The far-right column, which is the yearly average return, reflects the average return value for each of the months within the year.
The summary table at the bottom follows along with the structure of the table above, with each column reflecting a statistic based on the underlying month of the year. The first row is the seasonal average return, which is the same figure displayed at the top of the page, followed by the % of months with a positive return and negative return. The medium return takes all the returns across years into account to calculate the medium value across years for the month. The best row features the highest return and the worst features the lowest return. The final three rows reflect the absolute returns of the above, which can provide guidance for directional and neutral traders. The columns on the far right of the summary table reflect these same calculations, but using the seasonal average annual return column in the table above.
The Summary provides key information including
- % Positive and %Negative - the percentage of months shown in the table where the change was positive or negative
- The Medium, Best and Worst change over all years for each month
- The Absolute Average, Absolute Best and Absolute Worst change or all years for each month
