By: Matt Simpson, Market Analyst
A September win rate of 56 percent is the strongest number dollar seasonality has to offer, and even that comes with average returns close to flat. Dollar seasonality, measured since the year 2000, shows the U.S. dollar carries only a slim calendar edge now and its worst record of the year in December. October adds little, with a positive average return, a median close to flat and a win rate of 48 percent. December is where the record turns hostile, delivering the lowest win rate and the most negative average and median returns of any month. That seasonal low point arrives in the same window as two more Federal Reserve meetings and updated policy forecasts.
Matt Simpson is a Market Analyst for StoneX Media and a certified financial technician with 15 years analyzing and trading foreign exchange, indices, gold and oil.
The U.S. dollar's seasonal record deteriorates the further into the year it travels, and December is the month that does the damage. September offers a 56 percent win rate with average returns of around 1.05 percent, while the negative average return of 2.2 percent outweighs the positive average of 1.9 percent, meaning the down months bite harder than the up months reward. October is flatter still, with a win rate of 48 percent and a median effectively at zero. By December the pattern is unambiguous, and as Simpson puts it, "this is quite an established well known pattern. The closer we get to the back of the year, the greater the chances of the dollar rally petering out". For a trader holding long dollar exposure, the consequence is a calendar that stops paying for patience at precisely the point positioning is usually most crowded.
"this might not be the first time we've seen market pricing overestimate the Federal Reserve's ability to hike", Simpson notes, and the scale of the repricing explains why. Fed Funds futures moved from roughly 32 basis points of expected tightening to about 101 basis points by July inside 20 days, and the U.S. dollar has rallied on that expectation rather than on anything the Federal Reserve has committed to. Two more policy meetings and updated forecasts land before the seasonal trough, which is exactly where a gap between pricing and guidance gets resolved. Crude oil sits underneath the whole structure, keeping inflation expectations elevated and the hawkish case alive, although its own rally has produced a shooting star and a bearish inside day. Consequently, a genuine pullback in crude would remove the strongest support the tightening story has, at the moment the calendar is already leaning the other way.
--- Written by Frédéric Guétin, StoneX Media Producer
--- Expert: Matt Simpson, StoneX Media Market Analyst
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