Thursday, September 1, 2011

September Performance After Bad Augusts

September has a well-earned reputation as the worst month of the year for the stock market. Last night both Woodshedder and Michael Stokes provided nice historical breakdowns of September. For the 2nd year in a row the market has suffered a difficult August with the SPX closing down about 5.6%. This left me to wonder how September has performed following bad Augusts. Below I have compiled a list of all Septembers after August lost 4% or more.

There doesn’t appear to be a strong directional edge, but one thing that is evident in all of these Septembers is that there was high volatility. The 1966 instance saw the smallest range with the market moving a little over 5% from high to low. Six of the eight instances saw ranges of 9.5%+ in September. So I would not look for the action to dull this month.


Michele said...

Inote that the more recent the data, the better September did. Four out of the last five up over the last 20 years sounds a lot better than break even over 45 years.

It leads me to wonder - is older data as relevant as more recent numbers?

fractals said...

i think it would be interesting to compare aug -sept combination with other 2 month combinations to show that it is not just a aug-sept effect.

Unknown said...

I have VXV data going back to 2007 that I down loaded from the CBOE website. I found a letter from you using Google At the bottom, you state that you have data going back to 2002. Can you please post a link to that data on your site or tell me where I can find it.



DanielB said...

I wonder if adding an above/below 200MA would filter the data to more of an edge?

Daniel said...

Sept. definitely showed that predicted continued volatility, Rob. Another excellent analysis.