YTD Bucket Seasonal
Bucketing ^GSPC years by YTD magnitude through Aug; 2026 sits in 10 to 20%.
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Forward returns conditioned on the SIZE of the year-to-date move at a chosen month-end, not just its sign. Buckets every year in the sample by YTD magnitude (negative / 0-10% / 10-20% / 20%+), then reports 1M, 3M and rest-of-year returns per bucket with the current year placed in its bucket. The general form of the one-off conditional seasonals that circulate each summer — and it shows the buckets with no edge, which the one-offs never do.
- 75 signals since 1950-01-01.
- Bucketing ^GSPC years by YTD magnitude through Aug; 2026 sits in 10 to 20%.
When to run this study
Run at a month-end when you want to know whether the size of the year-to-date move says anything about what follows. Buckets every historical year by YTD magnitude at the same month-end and reports forward 1M / 3M / rest-of-year returns per bucket, with the current year placed in its bucket. Most useful mid-year, when "we are up a lot already" starts driving positioning.
Historical results
Forward returns by YTD bucket at end of Aug
| YTD through Aug | N | 1M | 1M win | 3M | 3M win | Rest of yr | RoY win |
|---|---|---|---|---|---|---|---|
| < 0% | 23 | -2.50 | 34.80 | 2.96 | 65.20 | 2.37 | 60.90 |
| 0 to 10% | 24 | -0.51 | 41.70 | 2.25 | 62.50 | 3.11 | 75 |
| 10 to 20% | 20 | 1.04 | 65 | 3.26 | 75 | 5.29 | 90 |
| >= 20% | 8 | 0.48 | 50 | 5.03 | 75 | 5.36 | 87.50 |
| ALL YEARS (baseline) | 75 | -0.25 | 46.70 | 2.90 | 68 | 3.81 | 76 |