After the worst August in 10 years, I have a hard time believing that September will also be a bad market month. However, history suggests that it will be.
Click on the chart to enlarge.
- $SPX data is from 1960 to 2010.
- SPY data is from 1993 to 2010
Calculations start at the open of the first trading day of the month and end on the close of the last trading day. No commissions or slippage were included.
September Statistics (using $SPX)
- Average Monthly Profit/Loss = -0.62%
- Winning Months= 43.14%
- Worst September = 1974 loss of -11.9%
- Best September = 2010 gain of +8.3%
Profit Distributions: (using $SPX)
Equity Curve: (Using $SPX)
Over the past 50 years, September has been a consistent loser.
With August being so awful, I’m not sure how much I’m willing to bet that September will turn out the way it usually does. While I expect volatility to remain elevated, my gut is that we see some mean-reversion which may mean that not much at all happens this time around.