30-Year U.S. Treasury Bond Futures - Seasonality

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30-Year U.S. Treasury Bond Futures - Seasonality

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Probability %	60%	50%	50%	60%	50%	60%	56%	50%	70%	80%	60%	67%
Average return %	+0.28%	-0.50%	+0.83%	-1.12%	-0.02%	+0.99%	+0.75%	-0.37%	-2.03%	-1.97%	+0.76%	+0.20%
2025	+0.05%	+3.68%	-0.69%	-0.05%	-3.79%	+2.38%	-1.11%	+0.05%	+2.05%	+0.62%	-0.29%	-1.04%
2024	-2.08%	-2.53%	+1.00%	-5.50%	+1.98%	+1.21%	+2.82%	+1.94%	+0.86%	-5.01%	+1.11%	-4.56%
2023	+3.62%	-3.59%	+4.74%	+0.38%	-2.52%	-1.12%	-1.95%	-2.21%	-6.50%	-3.82%	+6.40%	+7.30%
2022	-3.00%	+0.68%	-4.23%	-6.25%	-0.18%	-1.29%	+3.88%	-5.66%	-6.95%	-4.67%	+5.39%	-1.30%
2021	-2.58%	-5.63%	-2.90%	+1.72%	-0.72%	+2.96%	+2.47%	-1.06%	-2.30%	+1.02%	+0.80%	-1.04%
2020	+4.89%	+4.11%	+5.18%	+1.10%	-1.47%	+0.11%	+2.08%	-3.60%	+0.32%	-2.16%	+1.41%	-0.98%
2019	+0.47%	-1.51%	+3.59%	-1.46%	+4.24%	+1.22%	0.00%	+6.21%	-1.78%	-0.58%	-1.01%	-2.41%
2018	-3.39%	-2.96%	+2.22%	-1.90%	+0.89%	-0.09%	-1.40%	+0.87%	-2.58%	-1.69%	+1.29%	+4.36%
2017	+0.12%	+0.54%	-0.54%	+1.41%	+0.55%	-0.08%	-0.47%	+2.04%	-2.10%	-0.22%	-0.49%	+0.84%
2016	+4.74%	+2.17%	-0.06%	-0.68%	+0.86%	+4.63%	+1.21%	-2.33%	-1.30%	-3.23%	-7.03%	-0.41%

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Correlation

Post-election

76.60%

2010

92.17%

Daily Average

Weekly average

Monthly average