Monthly Seasonalities in Long-Term Treasuries (TLT) – Unveiling Potential Trends

Monthly Seasonalities in Long-Term Treasuries (TLT) – Unveiling Potential Trends

ByOddmund Groette Seasonal trading strategies

Are there any monthly seasonalities in TLT?

Yes, just like in stocks there are some strong and weak months. August is, by far, the best month.

We are now entering the best month over the last 20 years in long-term treasuries (TLT) – August. From the last closing price of July until the last in August the average has been a pretty solid 3.23%. This is substantially more than any other month. Four months/years have shown losses, all pretty moderate.

TLT Monthly Seasonalities – Performance Overview

The average gain for winning months is 4.44%, while the average gain for the four years where August showed a loss was -1.01%. TLT, the ETF for long-term treasuries, has had this equity curve since 2002 until today, assuming 100 000 in starting capital and being 100% invested in August every year:

TLT has some pretty impressive results in August.

For all months it looks like this:

  Per trade %
January 0.83
February 0.46
March 0.49
April 0
May 1.22
June 0.45
July 0.24
August 3.23
September 0.85
October -1.29
November 0.88
December 0.96

Is this table of any use? For me, it’s not, but it might generate some ideas for other users.

seasonalities-in-tlt

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FAQ:

– What is the average return for TLT in August over the last 20 years?

The average return for TLT in August, from the last closing price of July until the last in August, has been a solid 3.23%, making it substantially more favorable compared to other months.

– How does the equity curve for TLT look from 2002 until today, specifically in August?

The equity curve for TLT from 2002 until today, assuming a starting capital of 100,000 and being 100% invested in August every year, has shown impressive results. The author provides a visual representation of the equity curve.

– What are the average gains for winning months and the average losses for the four years where August showed a loss in TLT?

The average gain for winning months in TLT is 4.44%, while the average loss for the four years where August showed a loss was -1.01%. This suggests a consistent positive performance in August over the years.

I’ve got an Msc from Heriot-Watt University, Edinburgh (1996), in addition a to a business administration degree the Norwegian School of Management (BI – 1994). Did my mandatory military service in between.

After university, I worked two years as an auditor (1996-1998).

I co-founded Aksjeforum.com in 1998/99 - one of the first websites about trading and investing in Norway. It was later acquired by Digi.no in 2001.

I have written 4 books about trading (in Norwegian). One of them has sold 30,000 copies, a record for a financial book in Norway.

From 2001 until 2018 full-time independent prop trader (Series 7 in 2001) and investor.

2018-today: Investor, writer, analyst.

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