ChartBrief 142 – September Seasonality Statistics

For us southern hemisphere dwellers, September brings spring, but for the S&P 500 September brings sinister seasonal statistics.  Over the period 1964-2016 September has been the month with the worst average return (average -0.4% m/m) and the lowest probability of a positive return (returns were positive for the month ‘only’ 45% of the time).  With a long list of potential concerns e.g. North Korea, government shutdown, super storms, high valuations, low cash holdings, low implied correlations, euphoric sentiment readings, and monetary policy normalization… it’s quite straight forward to make a case for a bearish or cautious bias short-term, even without seasonality.  So while seasonality doesn’t work all of the time, when it lines up with other factors it tends to make you pay attention.

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Looking across the 1964-2016 period September has seen the worst average monthly price performance.

September Seasonality Statistics

Delving into some of the statistics, September also sees the lowest probability or proportion of positive returns across the months - and from a seasonal standpoint is typically the climax of a cluster of weaker months in that "sell in May" period.

September Seasonality Statistics

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Article by Top Down Charts

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Top Down Charts
Topdown Charts: "chart driven macro insights" Based in Queenstown, New Zealand, Topdown Charts brings you independent research and analysis on global macro themes and trends. Topdown Charts covers multiple economies, markets, and asset classes with a distinct chart-driven focus. We are not bound by technical or fundamental dogma, and instead look to leverage any relevant factor to capture the theme. As such, here you will find some posts that are purely technical strategy, some that just cover economics and data, and some posts that use multiple inputs to tell the story and identify the opportunities. Callum Thomas Head of Research Callum is the founder of Topdown Charts. He previously worked in investment strategy and asset allocation at AMP Capital in the Multi-Asset division. Callum has a passion for global macro investing and has developed strong research and analytical expertise across economies and asset classes. Callum's approach is to utilise a blend of factors to inform the macro view.