Campbell Systematic Macro Fund Class I - Seasonality

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Campbell Systematic Macro Fund Class I - Seasonality

Seasonality Charts

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Correlation

Pre-election

87.08%

2014

91.59%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Probability %	60%	80%	70%	67%	80%	60%	60%	60%	56%	56%	78%	56%
Average return %	+1.93%	+0.81%	+2.27%	+1.43%	-0.97%	+0.66%	-0.11%	+1.03%	+0.83%	-0.61%	-3.15%	-3.35%
2026	+2.46%	+2.19%	+2.24%	+2.79%	-1.46%	-0.79%	-1.49%	+3.23%	+3.91%	--	--	--
2025	+4.92%	-1.66%	+2.18%	-2.24%	-1.09%	-0.60%	-1.42%	-0.51%	+2.47%	-1.21%	-5.19%	+0.54%
2024	-0.11%	+3.78%	+1.61%	+0.74%	-1.47%	+1.70%	+2.40%	-1.43%	+2.38%	-2.22%	-2.17%	+3.17%
2023	+0.86%	+4.68%	-1.62%	0.00%	+1.24%	-1.33%	-2.38%	+0.53%	+3.79%	-1.83%	-4.55%	-2.60%
2022	+5.75%	+0.23%	+9.12%	+7.09%	-1.28%	+5.11%	-1.52%	+4.26%	+3.80%	+0.80%	-15.60%	-2.00%
2021	-1.86%	+2.53%	+4.80%	+2.59%	+2.86%	-0.45%	+0.78%	-1.00%	-0.67%	+1.35%	-2.78%	-6.41%
2020	+5.26%	+1.46%	-0.48%	-0.60%	-1.58%	-1.97%	-0.38%	-3.16%	-0.52%	+0.52%	+1.69%	+3.46%
2019	-1.33%	+1.35%	+4.59%	+3.01%	-1.91%	+5.72%	+5.30%	+4.62%	-2.55%	-4.33%	-0.11%	-17.72%
2018	+6.21%	-10.58%	+1.45%	-0.31%	-4.10%	+2.99%	-2.80%	+2.78%	-0.31%	-4.69%	-0.33%	-9.22%
2017	-2.87%	+4.12%	-1.22%	+1.23%	-0.91%	-3.79%	+0.43%	+0.95%	-0.94%	+6.14%	+0.70%	+0.59%

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