September Seasonality: S&P 500

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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.

 

11 Responses to September Seasonality: S&P 500

Sikander says:
August 31, 2011 at 10:50 pm

Great work as always. How are we doing on that simple indicator you showed a few days ago?

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Woodshedder says:
September 1, 2011 at 8:45 am

Sik, it is right about where it was when I published it. Not much of a change. I will update the site if it gets closer and will definitely send an alert if it crosses.

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kora says:
September 1, 2011 at 5:01 am

if you add the condition
Down July AND DOWN August (which is the case)
next month change %
Aug-11 ??
Aug-01 -8.17
Aug-99 -2.86
Aug-98 6.24
Aug-90 -5.12
Aug-88 3.97
Aug-85 -3.47
Aug-81 -5.38
Aug-77 -0.25
Aug-76 2.26
Aug-75 -3.46
Aug-74 -11.93
Aug-66 -0.70
Avg Gain -2.41
Median Gain -3.16

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go2jupiter says:
September 1, 2011 at 6:01 am

I’ve been trying to do this for a week now but I gave up when it didn’t work

I think the problem is when the first/last trading day of Sept is not the 1st/31st

If you get a minute can you take a look and let me know what I did wrong? Thanks

Buy = ( Month() == 8 ) AND Day() == 1 ;
Sell = ( Month() == 8 ) AND Day() == 31 ;

FOM = Month() != Ref(Month(),-1);
Plot(FOM,"FirstOfMonth",1,1);
Plot(FOM == 0 AND Ref(FOM,1) == 1,"LastDayOfMonth",colorRed,1);

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Woodshedder says:
September 1, 2011 at 8:48 am

Go2, you are close. I will email you some stuff tonight. However, if you want to work on it, your sell statement is a problem. Use look-forward language like ref(Month() == 9),1)

Also, go on the yahoo amibrokers user list and search for woodshedder and howard bandy. I think you’ll find something there as well which you can adapt.

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