Kann der Risikozyklus einen Drawdown oder Crash vorhersagen?

Nein. Der Risikozyklus ist eine deskriptive, statistische Auswertung der Vergangenheit, keine Prognose. Er zeigt, in welchen Phasen des Kalenderjahres ein Ticker historisch im Schnitt die tiefsten Rücksetzer und die höchste Schwankung aufwies. Saisonale Muster wiederholen sich nicht garantiert, und ein einzelnes Jahr kann stark vom Durchschnitt abweichen.

Was ist der Unterschied zwischen Drawdown und Volatilität?

Der Drawdown misst den prozentualen Rückgang vom bisherigen Jahreshoch und beschreibt die Tiefe eines Rücksetzers. Die Rolling-Volatilität misst die annualisierte Schwankungsbreite der Tagesrenditen über ein gleitendes Fenster (z. B. 20 Handelstage) und beschreibt die Unruhe des Marktes. Hohe Volatilität geht oft, aber nicht immer mit tiefen Drawdowns einher.

Wie funktioniert der Drawdown nach Präsidentenzyklus?

Jedes Jahr wird einer von vier Phasen des US-Präsidentenzyklus zugeordnet: Post-Election, Midterm, Pre-Election und Election Year. Für jede Phase wird der durchschnittliche saisonale Drawdown-Verlauf gemittelt sowie das beste und schlechteste Einzeljahr ausgewiesen. So wird sichtbar, ob bestimmte Zyklusphasen historisch mit höherem oder niedrigerem Rückschlagrisiko verbunden waren.

Risikozyklus — SPY

Drawdown & Volatility · Seasonal Risk Patterns · Presidential Cycle Risk

What does this page show? — The risk side of the seasonal cycle: when during the year do the largest pullbacks (drawdowns) typically occur? How high is rolling volatility throughout the year? And does the risk profile differ by presidential cycle phase? Sidebar: set the period and vol window — all sections update automatically.

Methodology

Drawdown Analysis

Normalization: Each year starts at 100. Daily returns compound: value = 100 × exp(Σ log_return)
Interpolation: Each annual curve is interpolated to 365 calendar days
Definition: DD = (Price − Peak since year start) / Peak × 100
Avg Drawdown Progression: Drawdown calculated per year, then averaged across all years
KPIsKPIs: Avg Max DD, Worst DD, Current DD

Volatility Analysis

Rolling Vol: Annualised std of log returns over a rolling window (√252 annualisation)
Cross-Year: The rolling calculation concatenates all years so that January values correctly draw on prior-December data
Percentile: "In what % of years was vol lower on the same day than today?"
Colour Coding: Red > avg + 1σ (elevated), Green < avg − 1σ (low)

Presidential Cycle

Mapping: Mapping: 1 = Post-Election, 2 = Midterm, 3 = Pre-Election, 4 = Election Year
Formel: Formula: ((year − 1) % 4 + 4) % 4 + 1
Pro Zyklusphase: Per cycle phase: Avg Max DD, best and worst year

Data Source

Supabase (Yahoo Finance / Stooq)

Understanding the Risk Cycle — Drawdown, Volatility & Presidential Cycle

SeasonAlpha's Risk Cycle shows the risk side of seasonality: it answers the question of when during the calendar year a security historically suffered its deepest pullbacks and its strongest swings. While classic seasonality charts emphasize average returns, the Risk Cycle focuses on drawdowns (declines from the yearly high) and rolling volatility. In the sidebar you pick a ticker (default: SPY, the S&P 500), the time range and the volatility window — all sections then update automatically and show which months risk typically rises in and when it eases.

The seasonal drawdown profile is the core of the analysis. Each year of history is normalized to a shared yearly path; from this the tool computes, for every day, the average distance below the running yearly high. A deep dip in the red average curve marks a period of the year in which pullbacks historically clustered — for US equities this often falls in the late-summer and autumn months. In addition, the seasonal volatility shows in which weeks the range of fluctuation typically widens. A percentile value places the current volatility within the historical record: if it sits above the average plus one standard deviation it counts as elevated (red), below it as low (green).

Methodologically the Risk Cycle works consistently with normalized returns: every year starts at 100, daily log returns compound on top of that, and each yearly curve is interpolated onto 365 calendar days. The drawdown is defined as (price − highest price since the start of the year) / highest price × 100 and is averaged across all years. The rolling volatility is the annualized standard deviation of log returns over a sliding window (√252 annualization), computed across year boundaries so that January values correctly reference the previous year's December data. The third section groups the years by US presidential cycle (Post-Election, Midterm, Pre-Election, Election Year) and shows the average drawdown per phase along with the best and worst year. All data comes from real price series (Yahoo Finance / Stooq via Supabase).

The Risk Cycle is a statistical tool for context, not investment advice and not a crash forecast. A deep seasonal drawdown dip does not mean a pullback will occur this year — it only shows that such phases clustered in the past. Seasonal averages smooth out extreme individual years: a single crisis year can dominate the mean without the pattern repeating. The shorter the chosen history, the more strongly individual years stand out — a longer range yields more robust patterns but blends different market regimes. Use the analysis as additional context for your own research. Past patterns are no guarantee of future results.

Frequently Asked Questions

Can the Risk Cycle predict a drawdown or crash? No. The Risk Cycle is a descriptive, statistical analysis of the past, not a forecast. It shows in which phases of the calendar year a ticker historically experienced, on average, the deepest pullbacks and the highest volatility. Seasonal patterns are not guaranteed to repeat, and a single year can deviate strongly from the average.

What is the difference between drawdown and volatility? The drawdown measures the percentage decline from the running yearly high and describes the depth of a pullback. The rolling volatility measures the annualized range of fluctuation of daily returns over a sliding window (e.g. 20 trading days) and describes how restless the market is. High volatility often, but not always, goes hand in hand with deep drawdowns.

How does drawdown by presidential cycle work? Each year is assigned to one of four phases of the US presidential cycle: Post-Election, Midterm, Pre-Election and Election Year. For each phase the average seasonal drawdown profile is computed, along with the best and worst individual year. This makes it visible whether certain cycle phases were historically associated with higher or lower setback risk.