September Almanac, Vital Stats & Calendar: Back to School, Q3 House Cleaning, Worst Month Since 1950
By: Christopher Mistal & Jeffrey A. Hirsch
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August 25, 2015
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The start of business year, end of summer vacations, and back to school made September a leading barometer month in first 60 years of 20th century, now portfolio managers back after Labor Day tend to clean house Since 1950, September is the worst performing month of the year for DJIA, S&P 500, NASDAQ (since 1971) and Russell 1000 (since 1979). Back-to-back gains in September 2012 and 2013 have lifted Russell 2000 to third worst (since 1979). September was creamed four years straight from 1999-2002 after four solid years from 1995-1998 during the dot.com bubble madness. September gets no respite from positive pre-election year forces.
 
Although the month has opened strong in 13 of the last 20 years (a fading trend as S&P 500 has been down five of the last six first trading days), as tans begin to fade and the new school year begins, fund managers tend to sell underperforming positions as the end of the third quarter approaches, causing some nasty selloffs near month-end over the years. Recent substantial declines occurred following the terrorist attacks in 2001 (DJIA: –11.1%), 2002 (DJIA –12.4%), the collapse of Lehman Brothers in 2008 (DJIA: –6.0%) and U.S. debt ceiling debacle in 2011 (DJIA –6.0%). However, September is improving with S&P 500 advancing in eight of the last 11 Septembers and DJIA climbing in seven.
 
September Triple Witching week is basically 50/50 with gains slightly more often than not, but is has suffered many large losses. DJIA, S&P 500, Russell 1000 and 2000 have recorded gains on Monday of expiration week for three straight years 2009-2011. NASDAQ has been down three straight years since. Triple-Witching Friday has been firm the past ten years with every index advancing at least eight times. The week after Triple Witching has been brutal, down 21 of the last 25, averaging an S&P 500 loss of 1.1%. In 2011, DJIA and S&P 500 both lost in excess of 6%.
 
In recent years, Labor Day has become the unofficial end of summer and the three-day weekend has become prime vacation time for many. Business activity ahead of the holiday was more energetic in the old days. From 1950 through 1977 the three days before Labor Day pushed the DJIA higher in twenty-five of twenty-eight years. Bullishness has since shifted to favor the two days after the holiday as opposed to the days before. DJIA has gained in 14 of the last 21 Tuesdays and 16 of the last 21 Wednesdays following Labor Day.
 
September (1950-2014)
  DJI SP500 NASDAQ Russell 1K Russell 2K
Rank 12 12 12 12 11
# Up 26 29 24 18 20
# Down 39 35 20 18 16
Average % -0.7   -0.5   -0.5   -0.6   -0.4
4-Year Presidential Election Cycle Performance by %
Post-Election -0.7   -0.6   -0.3   -0.7   -0.7
Mid-Term -1.0 -.04 -0.8 -1.1 -0.6
Pre-Election -0.9 -0.8 -0.7 -0.7 -1.2
Election -0.4 -0.2 -0.2 0.2 0.7
Best & Worst September by %
Best 2010 7.7 2010 8.8 1998 13.0 2010 9.0 2010 12.3
Worst 2002 -12.4 1974 -11.9 2001 -17.0 2002 -10.9 2001 -13.6
September Weeks by %
Best 9/28/01 7.4 9/28/01 7.8 9/16/11 6.3 9/28/01 7.6 9/28/01 6.9
Worst 9/21/01 -14.3 9/21/01 -11.6 9/21/01 -16.1 9/21/01 -11.7 9/21/01 -14.0
September Days by %
Best 9/8/98 5.0 9/30/08 5.4 9/8/98 6.0 9/30/08 5.3 9/18/08 7.0
Worst 9/17/01 -7.1 9/29/08 -8.8 9/29/08 -9.1 9/29/08 -8.7 9/29/08 -6.7
First Trading Day of Expiration Week: 1990-2014
#Up-#Down   17-8   14-11   10-15   14-11   11-14
Streak   U2   D1   D3   D1   D1
Avg %   -0.1   -0.2   -0.4   -0.2   -0.3
Options Expiration Day: 1990-2014
#Up-#Down   14-11   15-10   17-8   16-9   18-7
Streak   U1   D3   D2   D2   D2
Avg %   0.1   0.2   0.2   0.2   0.2
Options Expiration Week: 1990-2014
#Up-#Down   15-10   17-8   16-9   17-8   15-10
Streak   U2   U2   U2   U2   D1
Avg %   0.01   0.2   0.1   0.2   0.3
Week After Options Expiration: 1990-2014
#Up-#Down   5-20   4-21   9-16   5-20   7-18
Streak   D4   D4   D1   D4   D1
Avg %   -1.2   -1.1   -1.0   -1.1   -1.6
September 2015 Bullish Days: Data 1994-2014
  2, 8, 10, 11 1, 8-11, 14, 16 1, 4, 8, 9, 11, 14 1, 8-11, 14, 16 1, 4, 8, 11, 14
  16, 28 28, 29 16, 18 28, 29 16, 29
September 2015 Bearish Days: Data 1994-2014
  22, 23, 30 21, 22, 23, 30 15, 22, 23, 30 22, 23, 24, 30 22, 23, 25