S&P 500 Seasonality: Can The First Six Months Predict Performance Of ES Futures?

How Are S&P 500 Returns Distributed Throughout the Year? It is well known that the S&P 500, like US equity indexes more broadly, has a strong long-term bullish bias. What is less well understood is how this upward tendency is distributed throughout the year. To explore this question, we can use Bias Finder, our proprietary analysis software, which allows us to examine the behavior of individual markets across different time horizons, including the full 365-day calendar year. In this case, we want to determine whether E-mini S&P 500 futures (@ES) exhibit seasonal windows that are more profitable than others and, more importantly, whether these windows are connected in some way. Figure 1 shows the average annual performance of E-mini S&P 500 futures. Three particularly significant periods are highlighted: the red box marks the seasonal window running from the beginning of the year throu...