‘Sell in May and Go Away’: The Seasonality of Crypto-asset Returns

The summer months, between June and September, have historically brought significantly lower investor returns than other months of the year, says André Dragosch, head of research at ETC Group.

AccessTimeIconMay 1, 2024 at 4:00 p.m. UTC
10 Years of Decentralizing the Future
May 29-31, 2024 - Austin, TexasThe biggest and most established global event for everything crypto, blockchain and Web3.Register Now

Tick, tock, next block. Bitcoin works like clockwork as they say. Approximately every 10 minutes a new block of transactions is timestamped into the public ledger.

Obviously, time plays an important role in Bitcoin’s protocol. But what about the seasons?

Traditional financial research provides ample evidence for seasonality in equity returns. You have probably come across terms like the “January Effect” or “Turnaround Tuesday.”

You're reading Crypto Long & Short, our weekly newsletter featuring insights, news and analysis for the professional investor. Sign up here to get it in your inbox every Wednesday.

Seasonal performance patterns that are statistically significant can be observed on almost any time frame: Quarterly, monthly, weekly, daily, hourly, and so on.

The saying “sell in May and go away” has already been around since the nineteenth century, as the summer months tend to have shown a remarkable weakness in equity returns historically compared to other months of the year.

A look at Bitcoin’s average monthly returns reveals that the summer months between June and September have also shown significantly lower below-average returns.

Bitcoin Seasonality: Average monthly performance

Why should we care about this?

Well, if you just held cash during the months of August and September (when you were on holidays) and were only invested in Bitcoin during the rest of the year, you would have outperformed a Bitcoin buy-and-hold investor by four times!

Hence, statistically-significant seasonal performance patterns could theoretically be used to derive significant alpha.

Moreover, the average seasonal performance pattern also suggests that Bitcoin could continue to rally over the coming weeks until around June, when the average seasonal performance pattern suggests that bitcoin could make a pause during the summer months before continuing its ascent towards the end of the year.

Bitcoin average performance throughout the year

Having said that, as mentioned above, seasonal performance patterns can be observed on almost any time frame.

In this context, bitcoin seems to have fared best at the beginning of the week (Monday – Wednesday) while the performance towards the end of the week and especially on weekends have historically been below-average.

Bitcoin Average Daily Performance

Similar patterns can be observed during different trading hours: While the performance during Asian trading hours (12 am UTC – 6 am UTC) were mostly below average, European (8 am UTC – 4:30 pm UTC) and American (2:30 pm UTC – 9 pm UTC) trading hours usually show above-average performances historically. That being said, towards the end of the American trading session (9 pm UTC), Bitcoin returns have historically been the worst.

Bitcoin Average Hourly Performance

Similar intraday performance patterns can also be observed in the traditional FX market where most of the trading volumes occur during the intersection between European and American trading hours (between 2:30 pm UTC and 4:30 pm UTC).

Bitcoin trades 24/7/365 around the globe but fluctuations in price are ultimately a product of human action. Thus, it is no surprise that “sell in May and go away” seems to apply to Bitcoin’s return profile as well.

While Bitcoin continues to work like clockwork, its performance is ultimately determined by the time we are awake or asleep, when we start working ande when most of us are on holidays or not at work.

Tick, tock, next block.

This is not investment advice.

Edited by Benjamin Schiller.


Please note that our privacy policy, terms of use, cookies, and do not sell my personal information has been updated.

CoinDesk is an award-winning media outlet that covers the cryptocurrency industry. Its journalists abide by a strict set of editorial policies. In November 2023, CoinDesk was acquired by the Bullish group, owner of Bullish, a regulated, digital assets exchange. The Bullish group is majority-owned by Block.one; both companies have interests in a variety of blockchain and digital asset businesses and significant holdings of digital assets, including bitcoin. CoinDesk operates as an independent subsidiary with an editorial committee to protect journalistic independence. CoinDesk employees, including journalists, may receive options in the Bullish group as part of their compensation.

André Dragosch

André Dragosch is head of research at ETC Group.

Learn more about Consensus 2024, CoinDesk's longest-running and most influential event that brings together all sides of crypto, blockchain and Web3. Head to consensus.coindesk.com to register and buy your pass now.