FactSet (FDS) seasonality heatmap
Returns across monthly, quarterly, and yearly periods. Cell color encodes signed magnitude; the scale auto-fits each table.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -12.3% | -14.3% | +0.1% | +4.9% | +7.9% | -1.8% | — | — | — | — | — | — |
| 2025 | -1.2% | -2.4% | -1.5% | -4.9% | +6.3% | -2.4% | -9.9% | -7.1% | -23.3% | -6.9% | +4.3% | +4.7% |
| 2024 | -0.2% | -2.6% | -1.8% | -8.3% | -2.8% | +1.0% | +1.2% | +2.6% | +8.8% | -1.3% | +8.3% | -2.1% |
| 2023 | +5.4% | -1.8% | +0.1% | -0.8% | -6.3% | +4.1% | +8.6% | +0.5% | +0.2% | -1.2% | +5.2% | +5.2% |
| 2022 | -13.2% | -3.5% | +6.9% | -7.1% | -5.2% | +0.7% | +11.7% | +1.1% | -7.7% | +6.3% | +8.6% | -13.0% |
| 2021 | -9.1% | +0.8% | +1.5% | +9.0% | -0.3% | +0.4% | +6.5% | +6.7% | +3.8% | +12.4% | +5.8% | +3.7% |
| 2020 | +6.6% | -6.8% | -2.0% | +5.5% | +12.1% | +6.8% | +5.4% | +1.4% | -4.4% | -8.5% | +9.2% | -0.4% |
| 2019 | +9.2% | +7.9% | +5.6% | +11.1% | +1.1% | +3.0% | -3.2% | -1.6% | -10.7% | +4.3% | +2.7% | +3.3% |
| 2018 | +4.1% | +1.5% | -1.9% | -5.2% | +6.6% | -1.4% | +1.6% | +14.2% | -2.5% | +0.0% | +5.1% | -14.7% |
| 2017 | +5.9% | +3.1% | -7.3% | -1.0% | +1.8% | +0.3% | +0.6% | -5.7% | +14.6% | +5.4% | +5.6% | -3.6% |
| 2016 | -7.3% | +0.2% | +0.7% | -0.5% | +5.8% | +1.5% | +6.5% | +3.8% | -8.9% | -4.6% | +3.9% | +2.0% |
| 2015 | +2.0% | +8.6% | +2.3% | -1.1% | +5.2% | -1.6% | +1.9% | -4.4% | +1.2% | +9.6% | -2.9% | -4.1% |
| 2014 | -2.6% | -0.1% | +2.4% | -1.2% | +1.0% | +12.3% | -0.1% | +6.4% | -4.6% | +8.2% | +4.6% | +2.7% |
| 2013 | +5.1% | +5.5% | -4.8% | +1.6% | +4.8% | +3.8% | +7.1% | -5.9% | +6.6% | -0.1% | +4.0% | -3.9% |
| 2012 | +1.2% | -0.7% | +13.3% | +5.9% | +0.8% | -11.9% | +0.0% | -0.4% | +4.5% | -6.1% | +2.4% | -4.7% |
| 2011 | +7.5% | +4.3% | -0.1% | +4.5% | +1.6% | -7.7% | -10.0% | -4.2% | +1.2% | +11.7% | -5.9% | -6.4% |
| 2010 | -4.4% | +5.4% | +10.8% | +2.5% | -9.2% | -1.6% | +11.9% | -1.6% | +10.3% | +8.2% | +1.3% | +5.7% |
| 2009 | -10.0% | -2.7% | +29.7% | +7.2% | -0.9% | -5.7% | +13.7% | -2.6% | +20.3% | -3.3% | +13.3% | -8.9% |
| 2008 | +0.6% | -5.8% | +2.3% | +11.4% | +8.1% | -12.9% | +2.3% | +9.0% | -16.7% | -25.8% | +3.6% | +10.6% |
| 2007 | +2.8% | +4.9% | +3.3% | -2.1% | +4.0% | +7.1% | -3.4% | -9.0% | +14.4% | +2.9% | -10.9% | -11.1% |
| 2006 | -3.1% | -1.7% | +13.3% | -0.4% | +1.9% | +5.3% | -7.2% | +0.6% | +10.1% | +4.8% | +4.0% | +6.8% |
| 2005 | -8.6% | -7.2% | +0.1% | -15.9% | +15.5% | +12.0% | +2.3% | -4.5% | +0.7% | -0.5% | +10.5% | +6.3% |
| 2004 | -0.3% | -3.1% | +15.6% | -6.5% | +10.0% | +8.1% | -8.7% | +3.4% | +8.2% | +3.4% | +3.8% | +13.3% |
| 2003 | -3.8% | -5.7% | +26.8% | +7.2% | +10.8% | +14.4% | +4.4% | +5.7% | -8.6% | -1.6% | -4.9% | -7.8% |
| 2002 | +10.7% | -11.4% | +17.8% | -13.7% | -6.2% | -8.6% | -12.5% | -4.6% | +7.1% | +3.0% | +13.1% | -8.5% |
| 2001 | +1.0% | -16.6% | -3.2% | +17.6% | +13.1% | -11.0% | -7.1% | -23.4% | -4.3% | +2.0% | +21.3% | +16.6% |
| 2000 | -15.9% | -10.0% | -10.2% | +6.3% | -10.3% | +9.6% | +15.5% | +4.9% | +10.0% | +0.7% | -15.2% | +15.5% |
| 1999 | +19.8% | -15.4% | +3.7% | +7.7% | -8.2% | +32.5% | -11.9% | -7.1% | +22.8% | +17.0% | -6.7% | +28.4% |
| 1998 | -8.9% | +6.7% | +19.7% | -2.1% | -7.3% | +0.2% | +13.3% | -12.4% | -1.8% | -5.2% | +35.3% | +51.9% |
| 1997 | -1.9% | -11.9% | +7.1% | +4.2% | -3.7% | +25.7% | +12.1% | +0.0% | +9.3% | -11.1% | -5.5% | +21.7% |
| 1996 | — | — | — | — | — | — | +0.0% | +1.2% | -5.5% | +25.3% | -1.9% | -10.7% |
| Avg | -0.7% | -2.5% | +5.0% | +1.2% | +1.9% | +2.9% | +1.8% | -1.1% | +1.8% | +1.6% | +4.1% | +3.3% |
| Median | -0.3% | -2.1% | +2.3% | +0.6% | +1.7% | +1.0% | +1.8% | -0.2% | +1.2% | +1.4% | +4.0% | +2.4% |
| Last 5Y Avg | -4.3% | -4.9% | +0.8% | -3.2% | -0.0% | +0.8% | +3.6% | +0.8% | -3.6% | +1.9% | +6.4% | -0.3% |
| Std Dev (σ) | 7.9% | 7.0% | 9.5% | 7.4% | 7.0% | 10.2% | 8.1% | 7.1% | 10.5% | 9.3% | 9.5% | 13.9% |
| Consistency (μ/σ) | -0.09 | -0.36 | 0.52 | 0.16 | 0.28 | 0.28 | 0.22 | -0.15 | 0.18 | 0.18 | 0.43 | 0.24 |
| Win Rate (%) | 47% | 37% | 70% | 50% | 63% | 66% | 63% | 47% | 60% | 57% | 73% | 53% |
| Winning / Losing Months | ▲14▼16 | ▲11▼19 | ▲21▼9 | ▲15▼15 | ▲19▼11 | ▲19▼10 | ▲19▼11 | ▲14▼16 | ▲18▼12 | ▲17▼13 | ▲22▼8 | ▲16▼14 |
| Longest Win / Loss Streak | ▲4▼4 | ▲5▼8 | ▲9▼2 | ▲6▼5 | ▲10▼4 | ▲6▼5 | ▲5▼2 | ▲5▼5 | ▲5▼3 | ▲4▼3 | ▲10▼2 | ▲5▼3 |
| Best | +19.8%in January 1999 | +8.6%in February 2015 | +29.7%in March 2009 | +17.6%in April 2001 | +15.5%in May 2005 | +32.5%in June 1999 | +15.5%in July 2000 | +14.2%in August 2018 | +22.8%in September 1999 | +25.3%in October 1996 | +35.3%in November 1998 | +51.9%in December 1998 |
| Worst | -15.9%in January 2000 | -16.6%in February 2001 | -10.2%in March 2000 | -15.9%in April 2005 | -10.3%in May 2000 | -12.9%in June 2008 | -12.5%in July 2002 | -23.4%in August 2001 | -23.3%in September 2025 | -25.8%in October 2008 | -15.2%in November 2000 | -14.7%in December 2018 |
−25.8%+51.9%
2026
Jan-12.3%
Feb-14.3%
Mar+0.1%
Apr+4.9%
May+7.9%
Jun-1.8%
Jul—
Aug—
Sep—
Oct—
Nov—
Dec—
2025
Jan-1.2%
Feb-2.4%
Mar-1.5%
Apr-4.9%
May+6.3%
Jun-2.4%
Jul-9.9%
Aug-7.1%
Sep-23.3%
Oct-6.9%
Nov+4.3%
Dec+4.7%
2024
Jan-0.2%
Feb-2.6%
Mar-1.8%
Apr-8.3%
May-2.8%
Jun+1.0%
Jul+1.2%
Aug+2.6%
Sep+8.8%
Oct-1.3%
Nov+8.3%
Dec-2.1%
2023
Jan+5.4%
Feb-1.8%
Mar+0.1%
Apr-0.8%
May-6.3%
Jun+4.1%
Jul+8.6%
Aug+0.5%
Sep+0.2%
Oct-1.2%
Nov+5.2%
Dec+5.2%
2022
Jan-13.2%
Feb-3.5%
Mar+6.9%
Apr-7.1%
May-5.2%
Jun+0.7%
Jul+11.7%
Aug+1.1%
Sep-7.7%
Oct+6.3%
Nov+8.6%
Dec-13.0%
2021
Jan-9.1%
Feb+0.8%
Mar+1.5%
Apr+9.0%
May-0.3%
Jun+0.4%
Jul+6.5%
Aug+6.7%
Sep+3.8%
Oct+12.4%
Nov+5.8%
Dec+3.7%
2020
Jan+6.6%
Feb-6.8%
Mar-2.0%
Apr+5.5%
May+12.1%
Jun+6.8%
Jul+5.4%
Aug+1.4%
Sep-4.4%
Oct-8.5%
Nov+9.2%
Dec-0.4%
2019
Jan+9.2%
Feb+7.9%
Mar+5.6%
Apr+11.1%
May+1.1%
Jun+3.0%
Jul-3.2%
Aug-1.6%
Sep-10.7%
Oct+4.3%
Nov+2.7%
Dec+3.3%
2018
Jan+4.1%
Feb+1.5%
Mar-1.9%
Apr-5.2%
May+6.6%
Jun-1.4%
Jul+1.6%
Aug+14.2%
Sep-2.5%
Oct+0.0%
Nov+5.1%
Dec-14.7%
2017
Jan+5.9%
Feb+3.1%
Mar-7.3%
Apr-1.0%
May+1.8%
Jun+0.3%
Jul+0.6%
Aug-5.7%
Sep+14.6%
Oct+5.4%
Nov+5.6%
Dec-3.6%
2016
Jan-7.3%
Feb+0.2%
Mar+0.7%
Apr-0.5%
May+5.8%
Jun+1.5%
Jul+6.5%
Aug+3.8%
Sep-8.9%
Oct-4.6%
Nov+3.9%
Dec+2.0%
2015
Jan+2.0%
Feb+8.6%
Mar+2.3%
Apr-1.1%
May+5.2%
Jun-1.6%
Jul+1.9%
Aug-4.4%
Sep+1.2%
Oct+9.6%
Nov-2.9%
Dec-4.1%
2014
Jan-2.6%
Feb-0.1%
Mar+2.4%
Apr-1.2%
May+1.0%
Jun+12.3%
Jul-0.1%
Aug+6.4%
Sep-4.6%
Oct+8.2%
Nov+4.6%
Dec+2.7%
2013
Jan+5.1%
Feb+5.5%
Mar-4.8%
Apr+1.6%
May+4.8%
Jun+3.8%
Jul+7.1%
Aug-5.9%
Sep+6.6%
Oct-0.1%
Nov+4.0%
Dec-3.9%
2012
Jan+1.2%
Feb-0.7%
Mar+13.3%
Apr+5.9%
May+0.8%
Jun-11.9%
Jul+0.0%
Aug-0.4%
Sep+4.5%
Oct-6.1%
Nov+2.4%
Dec-4.7%
2011
Jan+7.5%
Feb+4.3%
Mar-0.1%
Apr+4.5%
May+1.6%
Jun-7.7%
Jul-10.0%
Aug-4.2%
Sep+1.2%
Oct+11.7%
Nov-5.9%
Dec-6.4%
2010
Jan-4.4%
Feb+5.4%
Mar+10.8%
Apr+2.5%
May-9.2%
Jun-1.6%
Jul+11.9%
Aug-1.6%
Sep+10.3%
Oct+8.2%
Nov+1.3%
Dec+5.7%
2009
Jan-10.0%
Feb-2.7%
Mar+29.7%
Apr+7.2%
May-0.9%
Jun-5.7%
Jul+13.7%
Aug-2.6%
Sep+20.3%
Oct-3.3%
Nov+13.3%
Dec-8.9%
2008
Jan+0.6%
Feb-5.8%
Mar+2.3%
Apr+11.4%
May+8.1%
Jun-12.9%
Jul+2.3%
Aug+9.0%
Sep-16.7%
Oct-25.8%
Nov+3.6%
Dec+10.6%
2007
Jan+2.8%
Feb+4.9%
Mar+3.3%
Apr-2.1%
May+4.0%
Jun+7.1%
Jul-3.4%
Aug-9.0%
Sep+14.4%
Oct+2.9%
Nov-10.9%
Dec-11.1%
2006
Jan-3.1%
Feb-1.7%
Mar+13.3%
Apr-0.4%
May+1.9%
Jun+5.3%
Jul-7.2%
Aug+0.6%
Sep+10.1%
Oct+4.8%
Nov+4.0%
Dec+6.8%
2005
Jan-8.6%
Feb-7.2%
Mar+0.1%
Apr-15.9%
May+15.5%
Jun+12.0%
Jul+2.3%
Aug-4.5%
Sep+0.7%
Oct-0.5%
Nov+10.5%
Dec+6.3%
2004
Jan-0.3%
Feb-3.1%
Mar+15.6%
Apr-6.5%
May+10.0%
Jun+8.1%
Jul-8.7%
Aug+3.4%
Sep+8.2%
Oct+3.4%
Nov+3.8%
Dec+13.3%
2003
Jan-3.8%
Feb-5.7%
Mar+26.8%
Apr+7.2%
May+10.8%
Jun+14.4%
Jul+4.4%
Aug+5.7%
Sep-8.6%
Oct-1.6%
Nov-4.9%
Dec-7.8%
2002
Jan+10.7%
Feb-11.4%
Mar+17.8%
Apr-13.7%
May-6.2%
Jun-8.6%
Jul-12.5%
Aug-4.6%
Sep+7.1%
Oct+3.0%
Nov+13.1%
Dec-8.5%
2001
Jan+1.0%
Feb-16.6%
Mar-3.2%
Apr+17.6%
May+13.1%
Jun-11.0%
Jul-7.1%
Aug-23.4%
Sep-4.3%
Oct+2.0%
Nov+21.3%
Dec+16.6%
2000
Jan-15.9%
Feb-10.0%
Mar-10.2%
Apr+6.3%
May-10.3%
Jun+9.6%
Jul+15.5%
Aug+4.9%
Sep+10.0%
Oct+0.7%
Nov-15.2%
Dec+15.5%
1999
Jan+19.8%
Feb-15.4%
Mar+3.7%
Apr+7.7%
May-8.2%
Jun+32.5%
Jul-11.9%
Aug-7.1%
Sep+22.8%
Oct+17.0%
Nov-6.7%
Dec+28.4%
1998
Jan-8.9%
Feb+6.7%
Mar+19.7%
Apr-2.1%
May-7.3%
Jun+0.2%
Jul+13.3%
Aug-12.4%
Sep-1.8%
Oct-5.2%
Nov+35.3%
Dec+51.9%
1997
Jan-1.9%
Feb-11.9%
Mar+7.1%
Apr+4.2%
May-3.7%
Jun+25.7%
Jul+12.1%
Aug+0.0%
Sep+9.3%
Oct-11.1%
Nov-5.5%
Dec+21.7%
1996
Jan—
Feb—
Mar—
Apr—
May—
Jun—
Jul+0.0%
Aug+1.2%
Sep-5.5%
Oct+25.3%
Nov-1.9%
Dec-10.7%
Avg
Jan-0.7%
Feb-2.5%
Mar+5.0%
Apr+1.2%
May+1.9%
Jun+2.9%
Jul+1.8%
Aug-1.1%
Sep+1.8%
Oct+1.6%
Nov+4.1%
Dec+3.3%
Median
Jan-0.3%
Feb-2.1%
Mar+2.3%
Apr+0.6%
May+1.7%
Jun+1.0%
Jul+1.8%
Aug-0.2%
Sep+1.2%
Oct+1.4%
Nov+4.0%
Dec+2.4%
Last 5Y Avg
Jan-4.3%
Feb-4.9%
Mar+0.8%
Apr-3.2%
May-0.0%
Jun+0.8%
Jul+3.6%
Aug+0.8%
Sep-3.6%
Oct+1.9%
Nov+6.4%
Dec-0.3%
Std Dev (σ)
Jan7.9%
Feb7.0%
Mar9.5%
Apr7.4%
May7.0%
Jun10.2%
Jul8.1%
Aug7.1%
Sep10.5%
Oct9.3%
Nov9.5%
Dec13.9%
Consistency (μ/σ)
Jan-0.09
Feb-0.36
Mar0.52
Apr0.16
May0.28
Jun0.28
Jul0.22
Aug-0.15
Sep0.18
Oct0.18
Nov0.43
Dec0.24
Win Rate (%)
Jan47%
Feb37%
Mar70%
Apr50%
May63%
Jun66%
Jul63%
Aug47%
Sep60%
Oct57%
Nov73%
Dec53%
Winning / Losing Months
Jan▲14▼16
Feb▲11▼19
Mar▲21▼9
Apr▲15▼15
May▲19▼11
Jun▲19▼10
Jul▲19▼11
Aug▲14▼16
Sep▲18▼12
Oct▲17▼13
Nov▲22▼8
Dec▲16▼14
Longest Win / Loss Streak
Jan▲4▼4
Feb▲5▼8
Mar▲9▼2
Apr▲6▼5
May▲10▼4
Jun▲6▼5
Jul▲5▼2
Aug▲5▼5
Sep▲5▼3
Oct▲4▼3
Nov▲10▼2
Dec▲5▼3
Best
Jan+19.8%1999
Feb+8.6%2015
Mar+29.7%2009
Apr+17.6%2001
May+15.5%2005
Jun+32.5%1999
Jul+15.5%2000
Aug+14.2%2018
Sep+22.8%1999
Oct+25.3%1996
Nov+35.3%1998
Dec+51.9%1998
Worst
Jan-15.9%2000
Feb-16.6%2001
Mar-10.2%2000
Apr-15.9%2005
May-10.3%2000
Jun-12.9%2008
Jul-12.5%2002
Aug-23.4%2001
Sep-23.3%2025
Oct-25.8%2008
Nov-15.2%2000
Dec-14.7%2018
−25.8%+51.9%
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