Monthly Seasonalities In Long-Term Treasuries

Last Updated on November 17, 2020 by Oddmund Groette

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.

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 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.


Disclosure: I am not a financial advisor. Please do your own due diligence and investment research or consult a financial professional. All articles are my opinion – they are not suggestions to buy or sell any securities.