Some Monthly Seasonalities In US Treasury Bills

Last Updated on November 17, 2020 by Oddmund Groette

August has historically provided good returns for owners of 30-year US treasuries. I read about this seasonality many years back, but I’m quite surprised it still seems to be working pretty well. Below is an equity chart showing the return buying 200 shares in TLT at the close in July and selling at the close in August every year from 2002 until 2018:

17 trades, 13 winners and the average rise is 2.8%. For information, this strategy has worked just as well before 2002.

How are the other months?

The left column is the month (8 is August). (There are different numbers of trades because the test is from July 2002 until March 2019.)

Of course, there has been a bull market in treasuries since the early ’80s and this might need to be factored in.

Link