September Almanac & Vital Stats: Worst Month of the Year 1950-2023 By: Jeffrey A. Hirsch & Christopher Mistal | August 15, 2024 | Email | Print

Portfolio managers back after Labor Day tend to clean house in September. Since 1950, September has been the worst performing month of the year for DJIA, S&P 500, NASDAQ (since 1971), Russell 1000 and Russell 2000 (since 1979). September was creamed four years straight from 1999-2002 after four solid years from 1995-1998 during the dot.com madness. More recently, DJIA, S&P 500, NASDAQ, Russell 1000 and 2000 have been down seven of the last ten Septembers and the last four straight. Average losses over the last ten years range from –1.5% by DJIA to –2.9% from NASDAQ.

 

Even though election years have historically been solid years, this tendency appears to have little to no impact on September’s abysmal performance. September’s ranking in election years does improve slightly but remains in the bottom third. Average performance remains negative with the exception of Russell 2000 gaining +0.4% on average since 1980.

 

 

Although the month used to open strong, S&P 500 has declined nine times in the last sixteen years on the first trading day. With fund managers tending to sell underperforming positions ahead of the end of the third quarter there have been 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%), U.S. debt ceiling debacle in 2011 (DJIA –6.0%) and during the post-covid bear market in 2022 (DJIA –8.8%).

 

 

September Quadruple Witching week is generally bullish with S&P 500 advancing nearly twice as many times as declining since 1990 but it has suffered some sizable losses and been down five or six years in a row depending on index. Quadruple-Witching Friday was essentially a sure bet for the bulls from 2004 to 2011 but has been a loser nine or ten of the last twelve years, depending on index with S&P 500 weakest, down 11 of the last 12. The week after Quadruple Witching has been brutal, S&P 500 down 27 of the last 34, averaging a loss of 1.06%. In 2022, DJIA, S&P 500, and NASDAQ all dropped 4% or more.

 

Labor Day has become the unofficial end of summer, and the three-day weekend is 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 Wednesday after the holiday as opposed to the days before. DJIA has advanced on 21 of the last 29 Wednesdays following Labor Day. Tuesday after Labor Day also leaned bullish, but DJIA has declined 12 of the last 16 (down the last 7 straight).