Stock Futures June Report: S&P500, NASDAQ 100, Bonds, Gold

How Do Futures Historically Perform in June?

It’s the first week of June, which makes for a good time to review seasonality tendencies among the most popular futures products. As has been the case in recent months, our lookback windows cover the past 5-years and 10-years. As noted previously, while a 15- or 20-year study could prove valid, we would then wade into the waters of different fiscal and monetary regimes that may render useless historical trends. 

And yet, the smaller data sets continue to have problems. For each of the futures below, their 5-year average performances are all eclipsed by their respective standard deviation of returns (a function of the February to June 2020 window proving volatile around the onset of the COVID-19 pandemic). The second half of 2023 may finally see seasonality more useful than a cocktail party anecdote. 

Last month, we addressed the adage, “sell in May and go away,” concluding that it was a nice rhyme, but nothing more. However, while the middle months have produced some of the stronger returns throughout the year, June has been the weakest link in the chain – a point of consideration even if seasonal metrics may not be statistically viable. 

Monthly Futures Seasonality Summary – June 2023

S&P 500 (/ES) Futures Monthly Seasonality

June is a slightly bullish month for /ES, on a seasonal basis. Over the past 5-years, it has been the sixth worst month of the year for the index, averaging a gain of +0.58% (σ = 5.53%). Over the past 10-years, it has been the third worst month of the year, averaging a gain of +0.05%.  

NASDAQ 100 (/NQ) Futures Monthly Seasonality

June is a bullish month for /NQ, on a seasonal basis. Over the past 5-years, it has been the fifth best month of the year for the index, averaging a gain of +2.55% (σ = 6.82%). Over the past 10-years, it has been the fourth worst month of the year, averaging a gain of +0.52%.

Treasury Notes (/ZN) Futures Monthly Seasonality

June is a mixed month for /ZN, on a seasonal basis. Over the past 5-years, it has been the fourth worst month of the year for the notes, averaging a loss of -1.41% (σ = 5.49%). Over the past 10-years, it has been the fifth worst month of the year, averaging a gain of +0.71%.

Treasury Bonds (/ZB) Futures Monthly Seasonality

June is a bearish month for /ZB, on a seasonal basis. Over the past 5-years, it has been the third worst month of the year for the bonds, averaging a loss of -1.28% (σ = 4.73%). Over the past 10-years, it has been the fifth worst month of the year, averaging a loss of -0.50%.

Crude Oil (/CL) Futures Monthly Seasonality

June is a bullish month for /CL, on a seasonal basis. Over the past 5-years, it has been the third best month of the year for the energy product, averaging a gain of +6.71% (σ = 42.19%). Over the past 10-years, it has been the third best month of the year, averaging a gain of +3.35%.

Gold (/GC) Futures Monthly Seasonality

June is a neutral month for /GC, on a seasonal basis. Over the past 5-years, it has been the fourth worst month of the year for the precious metal, averaging a loss of -0.08% (σ = 6.02%). Over the past 10-years, it has been the fifth worst month of the year, averaging a loss of -0.15%.

Euro (/6E) Futures Monthly Seasonality

June is a mixed month for /6E, on a seasonal basis. Over the past 5-years, it has been the fifth worst month of the year for the pair, averaging a loss of -0.48% (σ = 2.13%). Over the past 10-years, it has been the fourth best month of the year, averaging a gain of +0.10%. Note: the time series for Euro futures does not extend beyond 2018; the data series has been backfilled using EUR/USD spot rates as a proxy. 

--- Written by Christopher Vecchio, CFA, Head of Futures and Forex