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Peeking Ahead Into September: Weakest Historical Month at Trader’s Narrative

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The following is a guest post by Charles H. Dow Award winner, Wayne Whaley (CTA) of Witter & Lester. If you would like to be privy to his daily market comments and model ratings via daily email, free of charge, email him at wayne[AT] with the subject title “ADD ME TO DAILY EMAIL”.

I may be a week ahead of myself with this analysis, but there is lots of talk about positioning portfolios for Autumn’s traditional weak market performance and I thought it would be appropriate to take a glimpse ahead. Although October has been the origin of a handful of well documented market collapses, September is actually the only month of the year that has been down more times than not over the last 60 years. Since 1950, no other month has been more negative:

SP500 monthly performance since 1950

This is even more clearly notable by looking at the average and median returns for each month:

SP500 monthly performance avg median since 1950

And here are the respective charts for the S&P 500’s monthly performance since 1980. First the number of times that each month has been positive/negative:

SP500 monthly performance since 1980

And the average and median performance of the S&P 500 for each month since 1980:

SP500 monthly performance avg median since 1980

We finished today (August 23rd) down 4.3% for 2010 so far. Of course, there are six trading days left in August to make up the annual deficit, and statistically, it would be in the bulls best interest to do so. Below is September performance as a function of the S&P 500’s performance in the first eight months of the year since 1950:

september seasonality relative to SP500 since 1950

All of September’s weakness statistically comes in the last ten calendar days of the month between September 20th and September 30th. Below, I divided September into three equal periods and you can see that the first 20 calendar days are actually fractionally positive:

september weakness end of calendar month

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