Chart Of The Day - September Seasonality

Monthly seasonal stat snap

The Worst: September stands out as a month for a few reasons; the Northern Hemisphere gets back to work after summer holidays, the last 3 meaningful business months of the year are coming online, and as it seems — for some reason it’s historically the worst month for markets.

• On a technical note, this table shows summary statistics for monthly price returns for the S&P500 over the 1964-2022 period (using a pivot table in excel). It is a description of what happened in the past.

• As noted, September has historically been the worst month with the lowest monthly return (-0.6%) and lowest probability of a positive return (46%).

• So is September stuffed? Well, not necessarily, I mean first of all, 46% is pretty close to 50/50 even if it is the worst. Second, seasonality is just a description of what happened in the past, and it shows, by definition the average experience… and there are sometimes very notably exceptions to the average (just check out the best/worst columns). And thirdly, as I’ve highlighted elsewhere, seasonality works slightly different in bull vs bear markets (albeit even then, September can still be slippery in bull markets).

• So it’s interesting information, but as I always say, seasonality is secondary info — i.e. it should add to and build on an existing thesis, rather than being the basis for it. In other words, if your existing underlying thesis is bearish, then this will be very interesting information indeed.

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