How September Has Performed After a Weak August

September has a well-earned reputation as the worst month of the year for the stock market. But with August performing so poorly I wondered how that might affect September’s performance. The SPX finished August down 4.7%. Below I conducted a study showing how September has performed following August returns worse than X%.

While we’re not looking at a huge number of instances it does appear that going into September on a bad note in the past has not alleviated any risk. The worse August was the worse September was. Below I’ve listed the 7 instances where, like now, August finished down over 4%.

What stands out to me here is the size of the drawdowns. Four of seven instances saw September swoons of over 8%. While not statistically significant, I do think this is worth considering.

For those interested in reading more about September tendencies, I'd suggest checking out the below MarketSci post from yesterday.

http://marketsci.wordpress.com/2010/08/31/ugly-september/

Great post! I was going to Great post! I was going to do this myself after seeing someone's post about the worst month varying by decade and September only fell in one of them. This analysis makes much more sense! Submitted by Anonymous (not verified) on Thu, 2010/09/02 - 11:15am » reply |