YTD Bucket Seasonal
Bucketing ^GSPC years by YTD magnitude through Sep; 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 Sep; 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 Sep
| YTD through Sep | N | 1M | 1M win | 3M | 3M win | Rest of yr | RoY win |
|---|---|---|---|---|---|---|---|
| < 0% | 22 | 2.50 | 63.60 | 6.39 | 68.20 | 6.35 | 68.20 |
| 0 to 10% | 23 | 0.73 | 65.20 | 5.21 | 82.60 | 4.39 | 87 |
| 10 to 20% | 20 | 1.98 | 70 | 6.23 | 90 | 5.80 | 85 |
| >= 20% | 10 | -1.97 | 30 | 2.96 | 80 | 3.29 | 80 |
| ALL YEARS (baseline) | 75 | 0.93 | 61.30 | 5.29 | 80 | 5.29 | 80 |