Seasonality
Sep is ranked #12/12 with avg -0.35% and 59% win rate.
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Monthly / quarterly historical SPY seasonal patterns — best/worst months, quarter-of-year, presidential-cycle year.
- Seasonality analysis for SPY from 1993-01-01.
- Sep is ranked #12/12 with avg -0.35% and 59% win rate.
- Strongest month historically: Jul (+2.50% avg, 82% win rate).
- Weakest month: Sep (-0.35% avg).
Sep Avg Return
-0.35%
Rank #12/12
Win Rate
59%
Avg Intra-Month DD
-3.89%
Sample Size
22 years
When to run this study
Run at the start of each month or quarter, or before major calendar events. Useful for identifying seasonal tailwinds and headwinds to align with or fade — most relevant when other signals are ambiguous.
Historical results
Monthly Seasonality (Ranked by Mean Return)
| Rank | Month | Count | Mean Ret | Median Ret | Win Rate | Best | Worst | Avg Intra-DD | Max Intra-DD |
|---|---|---|---|---|---|---|---|---|---|
| 1 | Jul | 22 | 2.50 | 2.28 | 81.80 | 9.21 | -3.13 | -2.70 | -6.42 |
| 2 | Nov | 21 | 2.43 | 2.75 | 76.20 | 10.88 | -6.96 | -4.07 | -24.86 |
| 3 | Apr | 22 | 2.20 | 1.41 | 77.30 | 12.70 | -8.78 | -3.40 | -12.05 |
| 4 | May | 22 | 1.08 | 1.61 | 77.30 | 6.28 | -7.95 | -3.70 | -10.95 |
| 5 | Oct | 21 | 0.95 | 2.21 | 57.10 | 10.91 | -16.52 | -4.69 | -27.67 |
| 6 | Mar | 22 | 0.86 | 1.40 | 68.20 | 8.33 | -12.49 | -4.59 | -28.32 |
| 7 | Dec | 21 | 0.68 | 1.04 | 66.70 | 6.69 | -8.80 | -3.38 | -15.61 |
| 8 | Aug | 22 | 0.38 | 1.41 | 63.60 | 6.98 | -6.10 | -3.88 | -12.83 |
| 9 | Jan | 21 | 0.37 | 1.50 | 57.10 | 8.01 | -8.21 | -3.93 | -13.80 |
| 10 | Feb | 22 | 0.26 | 0.92 | 54.50 | 5.62 | -10.74 | -4.21 | -15.12 |
| 11 | Jun | 22 | 0.22 | 0.30 | 59.10 | 6.96 | -8.36 | -4.07 | -12.16 |
| 12 | Sep | 22 | -0.35 | 0.70 | 59.10 | 8.96 | -9.42 | -3.89 | -12.73 |