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September Almanac, Vital Stats & Calendar: Worst Performing Month Since 1950
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By:
Jeffrey A. Hirsch & Christopher Mistal
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August 25, 2016
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Since 1950, September is 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 bubble madness. Bullish election-year forces do little to improve on September’s poor overall performance over the same timeframe. September’s performance does improve slightly in election years, but it is still negative nearly across the board. Only the Russell 1000 and Russell 2000 have been able to escape negative territory and post modest 0.2% and 0.7% average gains respectively in the last nine election year Septembers.
![[September Election Year Stats]](/UploadedImage/AIN_0916_20160825_Sept_Election_Years.jpg)
Although the month has opened strong 13 of the last 21 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 nearly twice as many times as declining since 1990, but is has suffered some large losses. DJIA, S&P 500, Russell 1000 and 2000 recorded gains on Monday of expiration week for three straight years 2009-2011. NASDAQ has been down four straight years since. Triple-Witching Friday has been firm the past twelve years with every index advancing at least eight times. The week after Triple Witching has been brutal, down 22 of the last 26, 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 15 of the last 22 Tuesdays and 16 of the last 21 Wednesdays following Labor Day.
| September (1950-2015) |
| |
DJI |
SP500 |
NASDAQ |
Russell
1K |
Russell 2K |
| Rank |
|
12 |
|
12 |
|
12 |
|
12 |
|
12 |
| #
Up |
|
26 |
|
29 |
|
24 |
|
18 |
|
20 |
| #
Down |
|
40 |
|
36 |
|
21 |
|
19 |
|
17 |
| Average
% |
|
-0.8 |
|
-0.5 |
|
-0.6 |
|
-0.7 |
|
-0.6 |
| 4-Year Presidential Election Cycle Performance
by % |
| Post-Election |
|
-0.7 |
|
-0.6 |
|
-0.3 |
|
-0.7 |
|
-0.7 |
| Mid-Term |
|
-1.0 |
|
-0.4 |
|
-0.8 |
|
-1.1 |
|
-0.6 |
| Pre-Election |
|
-1.0 |
|
-0.9 |
|
-0.9 |
|
-1.0 |
|
-1.6 |
| Election |
|
-0.4 |
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-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: 1990-2015 |
| #Up-#Down |
|
17-9 |
|
14-12 |
|
10-16 |
|
14-12 |
|
11-15 |
| Streak |
|
D1 |
|
D2 |
|
D4 |
|
D2 |
|
D2 |
| Avg
% |
|
-0.1 |
|
-0.2 |
|
-0.4 |
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-0.2 |
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-0.3 |
| Options Expiration Day: 1990-2015 |
| #Up-#Down |
|
14-12 |
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15-11 |
|
17-9 |
|
16-10 |
|
18-8 |
| Streak |
|
D1 |
|
D4 |
|
D3 |
|
D3 |
|
D3 |
| Avg
% |
|
0.03 |
|
0.1 |
|
0.1 |
|
0.1 |
|
0.2 |
| Options Expiration Week: 1990-2015 |
| #Up-#Down |
|
15-11 |
|
17-9 |
|
17-9 |
|
17-9 |
|
16-10 |
| Streak |
|
D1 |
|
D1 |
|
U3 |
|
D1 |
|
U1 |
| Avg
% |
|
0.001 |
|
0.2 |
|
0.1 |
|
0.2 |
|
0.3 |
| Week After Options Expiration: 1990-2015 |
| #Up-#Down |
|
5-221 |
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4-22 |
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9-17 |
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5-21 |
|
7-19 |
| Streak |
|
D5 |
|
D5 |
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D2 |
|
D5 |
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D2 |
| Avg
% |
|
-1.2 |
|
-1.1 |
|
-1.1 |
|
-1.1 |
|
-1.7 |
| September 2016 Bullish Days: Data 1995-2015 |
| |
2,
8, 12, 13 |
1,
8, 9, 12-14 |
1,
8, 9, 13, 14 |
1,
8, 9, 12-14, 16 |
1, 7, 8, 12-14 |
| |
16,
29 |
16,
28, 29 |
16,
20 |
28,
29 |
16, 29 |
| September 2016 Bearish Days: Data 1995-2015 |
| |
19,
22, 23, 26, 30 |
22,
23, 26, 30 |
15,
22, 23, 30 |
22,
23, 26, 30 |
22, 23, 27 |
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