Thursday, May 11, 2017 – 1:15:00 PM MDT

Mid-May is the beginning of a long-established positive seasonal period for Treasury yields.

Long-term monthly Data

US Treasuries have a seasonal tendency all the way back to 1900 (117 years). On average, rates tend to rise through mid-May and fall for the rest of the year. Long-term monthly data of 10yr US Treasury yields show this general pattern.

Shorter-term Daily Data

Daily yield data for the entire yield curve (from its availability) show this same pattern in greater detail for the last 32 years. May 12th is the peak of this pattern.

Regularity

It should be noted that averages belie dispersion of the data. Yields certainly follow a unique path year to year; however, falling rates occur during the June to October period with enough regularity to count! 69% of the past 35 years have seen lower yields in the June through October period. No other subsets of the calendar show this strength of recurrence.