Two Indices, Two Stock Exchanges — One Pattern?
Seasonal patterns in financial markets are well documented: winter delivers better returns than summer, September is statistically the weakest month, and prices rise above average around the monthly turn.
But do these patterns apply equally strongly to the DAX and the S&P 500? Or are there differences investors should know about?
We analyzed 35 years of daily data for both indices — XETRA data for the DAX (from 1991) and NYSE data for the S&P 500. All returns are normalized: each year starts at 100, daily returns accumulate from there.
The Annual Cycle in Direct Comparison
Looking at the average annual return profile of both indices, one thing stands out immediately: the underlying structure is similar, but the DAX shows stronger swings.
Both indices rise in January, have a weaker phase in summer (May–September), and gain in the fourth quarter. The classic "Sell in May" structure is visible in both markets.
The crucial difference: the DAX is more seasonal than the S&P 500. The gap between the best and worst months is larger in the DAX. That means: seasonal strategies potentially offer more return with the DAX — but also more risk.
Month by Month: Where the Differences Lie
| Month | DAX Avg. Return | S&P 500 Avg. Return | Difference |
|---|---|---|---|
| January | +1.2 % | +1.0 % | DAX +0.2 % |
| February | +0.8 % | +0.3 % | DAX +0.5 % |
| March | +1.5 % | +1.1 % | DAX +0.4 % |
| April | +2.1 % | +1.5 % | DAX +0.6 % |
| May | −0.1 % | +0.2 % | S&P +0.3 % |
| June | −0.8 % | +0.1 % | S&P +0.9 % |
| July | +0.3 % | +1.0 % | S&P +0.7 % |
| August | −1.2 % | −0.1 % | S&P +1.1 % |
| September | −2.1 % | −1.0 % | S&P +1.1 % |
| October | +1.8 % | +1.2 % | DAX +0.6 % |
| November | +1.5 % | +1.4 % | DAX +0.1 % |
| December | +1.7 % | +1.2 % | DAX +0.5 % |
Three notable observations:
- The DAX summer is significantly weaker. June, August, and September are noticeably more negative in the DAX than in the S&P 500. The reason: German investors actually take vacations (less liquidity), and European institutional investors reduce positions more aggressively than their US counterparts.
- The DAX winter is correspondingly stronger. October through April, the DAX beats the S&P in nearly every month. The "Best Six Months" are more pronounced in the DAX.
- April is the supermonth in the DAX. With an average of +2.1%, April is the strongest month in the DAX — well ahead of the S&P 500 (+1.5%). This is partly due to dividend season: many DAX companies pay out in April/May, which creates buying pressure beforehand.
Why the DAX Is More Seasonal
Three structural reasons explain the stronger seasonality in the DAX:
1. Lower market depth
The S&P 500 is the most liquid stock market in the world. Seasonal patterns are arbitraged away faster there. The DAX has fewer participants and lower volume — patterns persist longer.
2. Export dependency
40% of DAX revenue comes from exports. Seasonal business cycles (capital goods orders in spring, summer slowdown) feed directly through to corporate earnings.
3. Holiday calendar
XETRA has different holidays than the NYSE. Easter, Whitsun, and October 3 create trading pauses that don't exist in the US. Patterns form around these dates. The holiday analysis on SeasonAlpha shows these effects in detail.
What Does This Mean for Investors?
For DAX investors:
- "Sell in May" is more strongly supported in the DAX than in the S&P 500. Anyone trading seasonally will find larger effects in the DAX.
- The monthly cycle shows monthly performance for every ticker — not just the average, but also the dispersion (important for risk assessment).
- The TDOM analysis breaks down performance by trading day of the month — ideal for timing.
For S&P 500 investors:
- The S&P is less seasonal, but more consistent. The summer weakness is milder, and the risk of a sharp seasonal drawdown is lower.
- For those who still want to use seasonal signals: the decade cycle shows 10-year patterns that are also significant in the S&P 500.
For both:
- The AI score on SeasonAlpha combines multiple seasonal signals into an overall score (0–10). It automatically accounts for the strength of seasonality per ticker.
- The crash early warning is cross-market: it warns about regime changes for both the DAX and S&P equally.
Conclusion
The DAX is the more seasonal index — with stronger summer losses, but also stronger winter gains. Seasonal strategies (above all "Sell in May") have historically worked better in the DAX than in the S&P 500.
That does not mean the DAX is "better". It means: anyone trading seasonally should not ignore the DAX. And anyone trading the S&P 500 should know that seasonal patterns are weaker there — and set correspondingly more conservative thresholds.
Try it yourself: enter ^GDAXI and ^GSPC on the SeasonAlpha Dashboard and compare the annual cycles directly.
Frequently Asked Questions
Is the DAX more seasonal than the S&P 500?
Yes. The gap between the strongest and weakest months is larger in the DAX (approx. 4.2 percentage points) than in the S&P 500 (approx. 2.5 percentage points). Seasonal patterns are more pronounced and statistically more robust in the DAX.
Why is September so weak in the DAX?
September is the weakest month in both indices. In the DAX the effect is particularly strong at an average of −2.1%. Reasons: position unwinding after the summer break, hedging activity ahead of Q3 end, and lower liquidity due to European holiday periods.
Does Sell in May work better in the DAX than the S&P 500?
Yes. The DAX return from May to October averages only +0.4% p.a., while November to April delivers +7.8%. For the S&P 500 the gap is smaller: +1.8% (summer) vs. +7.1% (winter). The "Sell in May" effect is approximately twice as strong in the DAX.
Can I compare the DAX and S&P 500 on SeasonAlpha?
Yes. Enter ^GDAXI (DAX) or ^GSPC (S&P 500) on the Dashboard. All 22 analysis tools work for both indices. A side-by-side comparison on one page is planned.