September: Weakest Month In U.S. Market History
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At the threshold of September, let's take a quick look at performance of this month in market history. Over the long haul, September has been the weakest of the 12 calendar months. To illustrate the point, I'll use the Dow monthly closes as our proxy for the US market and the year 1900 as our starting point.
There have been 112 September Dow closes since 1900, one for every year except 1914, when the outbreak of WW I in Europe prompted a four-month shutdown of the US markets.
Dow
The above table shows the average performance for the calendar months over this timeframe. The overall average monthly close has been a gain of 0.54%. However, September is one of three months with a negative average and by far the worst, with its -1.04% average.
The column of absolute averages (the percent change from zero) gives us a sense of the relative volatility of the monthly closes, which averages 3.85%. At 4.17%, September is a bit more volatile than the average, but the spread from the least volatile month (February) to the most volatile (November) is only 1.34%.
Ultimately, the monthly averages tell us very little about the historical record. What's more revealing is a snapshot of the range of closes, shown above from low to high. I've also highlighted the 5.83% standard deviation for this series.
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