Earnings season is on, and if history is any indication, investors should tread lightly.
That's because according to Stacey Gilbert, head of derivative strategy at Susquehanna, the start of the period over the past five years has corresponded to a rocky time for stocks. In fact, according to her work, the average one-month move in the S&P 500 after Alcoa's "unofficial kickoff" to earnings season is down 4 percent.
Of course, not every earnings season has been met with negative results. Gilbert points out that of the 20 earnings periods since January 2010, stocks have, in fact, moved higher 14 times one month after Alcoa's results. However, the last three earnings seasons have been a particularly volatile time, with the S&P 500 nearly correcting in early October 2014. The last official correction came during earnings season in July 2011.