According to analysis from Citigroup, historical patterns indicate that August is typically the weakest performing month for carry trades in emerging markets. Crowded market positions make investors particularly vulnerable to various market shocks.

Analysts including Luis Costa and Donato Guarino noted in a research report, "Our back-tested data consistently shows that August is a month of high volatility and generally unfavorable trading conditions."

This pattern stems from a "general summer market preference for carry trades, leading to elevated positioning levels by August," which can trigger significant market swings when unexpected major news occurs.

In contrast, historical data suggests that the risk-reward profile in July is generally more favorable overall.