30 Day Fed Fund Futures - Seasonality

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30 Day Fed Fund Futures - Seasonality

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Probability %	57%	86%	56%	56%	63%	67%	75%	57%	50%	63%	75%	50%
Average return %	-0.05%	-0.03%	+0.06%	-0.07%	-0.04%	-0.07%	-0.06%	-0.01%	-0.00%	-0.03%	-0.03%	+0.02%
2026	-0.03%	0.00%	-0.03%	+0.02%	0.00%	--	--	--	--	--	--	--
2025	0.00%	0.00%	+0.03%	+0.05%	-0.08%	+0.04%	0.00%	+0.18%	+0.26%	+0.08%	+0.13%	+0.06%
2024	0.00%	0.00%	0.00%	0.00%	0.00%	+0.25%	-0.25%	0.00%	+0.54%	+0.18%	+0.01%	+0.33%
2023	+0.04%	-0.44%	+0.54%	-0.20%	-0.22%	-0.20%	+0.02%	+0.06%	0.00%	0.00%	0.00%	0.00%
2022	-0.36%	-0.19%	-0.71%	-0.50%	-0.17%	-0.94%	-0.10%	-0.51%	-0.72%	-0.45%	-0.04%	-0.06%
2021	0.00%	-0.02%	+0.01%	-0.01%	+0.01%	-0.01%	+0.01%	0.00%	0.00%	-0.03%	-0.03%	-0.17%
2020	+0.11%	+0.56%	+0.82%	+0.01%	+0.02%	-0.01%	-0.01%	-0.01%	0.00%	-0.01%	-0.01%	+0.01%
2019	+0.03%	-0.01%	+0.07%	+0.02%	+0.20%	+0.34%	-0.06%	+0.31%	+0.04%	+0.09%	-0.09%	-0.03%
2018	-0.17%	-0.11%	-0.03%	-0.08%	-0.09%	-0.05%	-0.12%	-0.10%	-0.05%	-0.08%	-0.06%	+0.10%
2017	-0.08%	-0.10%	-0.14%	-0.05%	-0.07%	-0.02%	-0.01%	-0.01%	-0.10%	-0.09%	-0.14%	-0.02%

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Correlation

Midterm

43.70%

2016

82.32%

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Weekly average

Monthly average