The month of September is the only calendar that has seen more down months than up month for the stock market. Using the S&P 500 Index since 1950, there have been 29 “up” Septembers and 37 “down” Septembers, with an average loss of -0.68%.
All told, 44% of the time September has been up and 56% of the time it has been down. So to imply that September of 2016 is “doomed to be a downer” is hardly accurate. Still, a closer look at the “internals” for September suggests that investors might consider using more caution as the month progresses.
A Tale of Two Time Periods
For our purposes we will break the month of September into two periods:
*All the days prior to the last 13 trading days of the month
*The last 13 trading days of the month
Figure 1 displays the growth of $1,000 invested in the Dow Jones Industrials Average only during the two periods listed above. The red line displays the growth (er, decline) during the last 13 trading day of September and the blue line displays the growth of all trading days prior to the last 13 trading days.
Figure 1 – Growth of $1,000 invested in Dow Industrials during the last 13 trading days of September (red line) versus all prior days of month (blue line); 1955-2015
Clearly the last 13 trading days of September has not been the time to expect great things from the stock market. Figure 2 displays some of the particulars and Figure 3 displays the year-by-year results for the two time periods.
| Measure | All prior days | Last 13 days |
| # Times UP | 33 | 22 |
| # Times DOWN | 28 | 39 |
| % times UP | 54% | 36% |
| % times DOWN | 46% | 64% |
| Average % +(-) | +0.24% | (-1.26%) |
| Median % +(-) | +0.37% | (-0.90%) |
| Standard Deviation | 2.14% | 3.31% |
| Largest % Gain | +5.3% | 6.9% |
| Largest % Loss | (-5.6%) | (-11.8%) |
| # times UP 3% or more | 6 | 3 |
| # times DOWN 3% or more | 4 | 12 |
Figure 2 – Relative Performance
Things to note regarding the last 13 trading days of September:
*This period showed a loss 64% of the time
*The largest losses were -11.8% (2001) and -11.5% (2002)
*Gains of +3% or greater occurred 3 times
*Loss of -3% or greater occurred 12 times
Figure 3 displays the year-by-year results for both periods since 1955
| Before | Last 13 | |
| Year | Last 13 | TDM |
| 9/30/1955 | 2.72 | (2.98) |
| 9/28/1956 | 0.02 | (5.36) |
| 9/30/1957 | (2.05) | (3.82) |
| 9/30/1958 | 2.32 | 2.24 |
| 9/30/1959 | (4.07) | (0.89) |
| 9/30/1960 | (2.27) | (5.17) |
| 9/29/1961 | 0.37 | (2.96) |
| 9/28/1962 | (0.85) | (4.14) |
| 9/30/1963 | 1.51 | (1.02) |
| 9/30/1964 | 3.42 | 0.95 |
| 9/30/1965 | 3.11 | 1.05 |
| 9/30/1966 | 0.90 | (2.67) |
| 9/29/1967 | 1.16 | 1.64 |
| 9/30/1968 | 2.82 | 1.58 |
| 9/30/1969 | (1.31) | (1.54) |
| 9/30/1970 | (0.36) | (0.15) |
| 9/30/1971 | 1.26 | (2.44) |
| 9/29/1972 | (1.84) | 0.76 |
| 9/28/1973 | (0.20) | 6.93 |
| 9/30/1974 | (3.52) | (7.16) |
| 9/30/1975 | (2.72) | (2.31) |
| 9/30/1976 | 0.98 | 0.70 |
| 9/30/1977 | (0.80) | (0.87) |
| 9/29/1978 | 3.38 | (4.48) |
| 9/28/1979 | (2.02) | 1.02 |
| 9/30/1980 | 0.93 | (0.94) |
| 9/30/1981 | (0.98) | (2.62) |
| 9/30/1982 | 1.93 | (2.44) |
| 9/30/1983 | 0.65 | 0.74 |
| 9/28/1984 | (2.16) | 0.73 |
| 9/30/1985 | (0.04) | (0.36) |
| 9/30/1986 | (5.55) | (1.41) |
| 9/30/1987 | (2.04) | (0.48) |
| 9/30/1988 | 2.53 | 1.43 |
| 9/29/1989 | (1.10) | (0.53) |
| 9/28/1990 | (0.07) | (6.13) |
| 9/30/1991 | (1.86) | 0.99 |
| 9/30/1992 | 1.48 | (1.03) |
| 9/30/1993 | (0.47) | (2.18) |
| 9/30/1994 | (0.86) | (0.95) |
| 9/29/1995 | 2.96 | 0.88 |
| 9/30/1996 | 2.47 | 2.21 |
| 9/30/1997 | 0.51 | 3.71 |
| 9/30/1998 | 3.40 | 0.60 |
| 9/30/1999 | 1.86 | (6.29) |
| 9/29/2000 | 0.16 | (5.18) |
| 9/28/2001 | 0.84 | (11.82) |
| 9/30/2002 | (0.95) | (11.53) |
| 9/30/2003 | 0.47 | (1.95) |
| 9/30/2004 | 1.38 | (2.27) |
| 9/30/2005 | 1.11 | (0.27) |
| 9/29/2006 | 1.03 | 1.57 |
| 9/28/2007 | (0.37) | 4.41 |
| 9/30/2008 | (0.95) | (5.10) |
| 9/30/2009 | 1.15 | 1.11 |
| 9/30/2010 | 5.29 | 2.31 |
| 9/30/2011 | (4.37) | (1.73) |
| 9/28/2012 | 1.78 | 0.85 |
| 9/30/2013 | 3.49 | (1.28) |
| 9/30/2014 | (0.29) | (0.04) |
| 9/30/2015 | (0.57) | (0.90) |
Figure 3 – Year-by-Year Results for September
Summary
The numbers presented here paint a grim picture regarding the latter portion of the month of September. Still the reality is that each year is a new roll of the dice (and remember that in 1973 the last 13 days of September witnessed a gain of +6.9%).
In the end the results presented here merely suggest that investors and traders who are nervous about their holdings and/or are willing to consider hedging might look to take some precautionary action by the close of trading on 9/13/16.
Jay Kaeppel
