September Almanac: Poorest Performing Month By: Jeffrey A. Hirsch & Christopher Mistal | August 24, 2017 | Email | Print

Since 1950, September is the worst performing month of the year for DJIA (–0.8%), S&P 500 (–0.5%), NASDAQ (–0.5%) (since 1971), Russell 1000 (–0.6%), and Russell 2000 (–0.5%) (since 1979). September was creamed four years straight from 1999-2002 after four solid years from 1995-1998 during the dot.com bubble madness. In post-election years, September’s overall rank improves modestly in post-election years going back to 1953 (second, third or fourth worst month depending on index). Average losses are little changed. Although September 2001 does influence the average declines, the fact remains DJIA and S&P 500 have declined in 9 of the last 16 post-election year Septembers.

 

 

Although the month has opened strong 13 of the last 22 years, once tans begin to fade and the new school year begins, fund managers tend to clean house 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 (Dow: -11.1%) and the collapse of Lehman Brothers in 2008 (Dow: -6.0%). Solid September gains in 2010; DJIA’s 7.7%, S&P 500’s 8.8% were the best since 1939, but the month suffered nearly the same magnitude declines in 2011, confirming that September can be a volatile month.

 

September Triple Witching week is generally bullish with S&P 500 advancing twice as many times as declining since 1990, but is has suffered some sizable losses. Triple-Witching Friday was essentially a sure bet for the bulls from 2004 to 2011, but has been a loser four or five of the last five years, depending on index. The week after Triple Witching has been brutal, down 22 of the last 27, averaging an S&P 500 loss of 1.0%. 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 16 of the last 23 Tuesdays and 16 of the last 22 Wednesdays following Labor Day.