Earnings season is upon us. Historically, we used Alcoa (AA) reporting as the unofficial start of earnings season, but since that company broke into two tickers we’ve switched to the first report among the large money center banks. On Monday, that will be Citi (C). We gauge the report for Wal-Mart (WMT) as the unofficial end of earnings season. Since WMT’s most recent report, the S&P 500 is up about 4.3%. What does that tell us about forthcoming performance during earnings season?

As shown in the chart below, not much. Since 2001, stocks tend to perform best over earnings season when they’re either down modestly or up modestly in the prior off season. Very large or very small off season changes in stock prices tend to lead to the worst earnings season performance, while modest gains or losses in the off season lead to the biggest average gains.

It’s worth saying that if we don’t break up the performance into bins as we do in the chart above, the relationship between off season performance and earnings season performance is almost literally zero. While the 4.3% performance into earnings season this year suggests modest gains across earnings season, the broader data set doesn’t tell us much about where the stock market is set to go over the next six weeks.  Start a two-week free trial to Bespoke Institutional for access to our full suite of reports dealing with seasonality, historical performance, and earnings results.