There is a popular belief that seasonality affects the market and causes differences in market performance of different months. This belief seems to be reasonable, as the average monthly return of SPY varies throughout the year.
However, in order to check if the differences are significant, we also need to consider the standard deviation of the monthly returns.
The result shows the average monthly returns of SPY based on standard deviation of different months are not significantly different from zero, which means that there is no significant difference between the market performance of different months. So, we can conclude that the seasonality effect is an intuitive but incorrect belief.