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Euro Bund (BUNDTREUR) Seasonality

Over 2016 to 2025 (10 years of data), BUNDTREUR has tended to move short between 28.07 and 25.09, closing higher in 90.0% of those years for an average +2.27% move and an annualized Sharpe of 1.42.

Average seasonal curve

BUNDTREUR average seasonal curve, 2016 to 2025
Index	Value
1	100
2	100.0904
3	100.0875
4	100.068
5	99.9968
6	100.1843
7	100.1314
8	100.1083
9	99.9472
10	99.7163
11	100.0593
12	100.2053
13	100.2079
14	100.061
15	100.1592
16	100.0595
17	100.142
18	100.2063
19	100.148
20	99.991
21	100.0364
22	100.0542
23	99.8601
24	99.9242
25	100.0398
26	99.8703
27	99.9258
28	99.9188
29	100.0253
30	99.9414
31	100.068
32	100.113
33	100.2377
34	99.8962
35	99.8476
36	99.7848
37	99.6801
38	99.4735
39	99.3705
40	99.4333
41	99.2667
42	99.3958
43	99.3998
44	99.414
45	99.2447
46	99.0839
47	99.0596
48	99.2208
49	99.2443
50	99.1435
51	99.1537
52	99.083

Strongest recurring windows

Window	Dir	Win rate	Avg return	Sharpe	Years
28.07 → 25.09	Short	90.0%	+2.27%	1.42	10
27.07 → 25.09	Short	90.0%	+2.22%	1.32	10
28.07 → 26.09	Short	90.0%	+2.21%	1.37	10
28.07 → 23.09	Short	90.0%	+2.10%	1.47	10
27.07 → 23.09	Short	90.0%	+2.05%	1.37	10
28.07 → 20.09	Short	90.0%	+2.04%	1.68	10
28.07 → 19.09	Short	90.0%

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