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.