Research Excerpts

Statistics Over Show Biz: Benchmark US Rates Historically Decline Between April & August

Posted on: Wednesday, April 3rd, 2013

The following is one of the 24 charts and corresponding commentary/analysis/strategy from our April 2013 Global Seasonal Analysis report (access requires subscription).

Global Seasonal Analysis, one of 8 different reports that we produce for subscribers at various intervals throughout the month, is a monthly report that displays and analyzes annual, quarterly and monthly seasonal trends for 17 global asset prices including equities, benchmark interest rates, foreign exchange, and key commodity prices based on historical data going back to the 1950s.

Excerpt From: Asbury Research’s Global Seasonal Analysis
Asset Class: US Interest Rates
Topic: US 10-Year Treasury Note
Date: March 28th, 2013

The teal bar on the chart highlights April as the seasonally strongest month of the year for the yield of the US 10-Year Treasury Note since 1957.  It represents the end of a four-month period of acute seasonal strength that includes four of the five seasonally strongest months of the year for these yields, and leads into a sustained period of overall weakness that culminates in August but extends through year end.

Chart 1

The height of the teal bar indicates that, on average since 1957, the yield of the 10-Year has risen by 1.36% in April.  The red line shows that, also on average since 1957, US 10-year yields have posted a higher monthly close 64% of the time in April, which is by far the highest incidence of a positive close for any month during this period.


A journalist/on-air personality on financial television has recently been referring to seasonality in financial asset prices as an “old wives tale”.  Although this kind of confrontational journalism has become the norm on some programs, perhaps in an effort to help buoy recently plummeting ratings, we think this kind of  reporting is intellectually dishonest.

In our view a strong and distinct 55-year statistical trend of declining benchmark interest rates between April and August is certainly worth paying attention to.  Should it occur again this year, we think it would probably represent a flight-to-relatively-safety move back into US government bonds — and out of more risky US equities.

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