Monthly Seasonalities In Long-Term Treasuries (TLT)

Last Updated on June 19, 2022 by Quantified Trading

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.

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.

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