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The S&P 500 index has started September on a sour note, dropping 2.8% in the first 10 days of the month.
This marks the fifth-worst start for September in the last 25 years, trailing only 2020 (-5.31%), 2011 (-4.15%), 2008 (-3.34%), and 2001 (-2.97%).
While the initial month weakness is already notable, historical seasonality suggests that the worst may still be ahead.
Historically, September is one of the worst-performing months for the S&P 500, and the early days of the month typically set the tone for the rest of the month.
A Benzinga analysis, powered by the AI tool “seasonality.ai,” reveals that over the past 25 years, the SPDR S&P 500 ETF Trust (NYSE:SPY) has posted negative returns in the first 10 days of September on 14 occasions, with a slightly negative average return (-0.14%).
Yet, not all September starts are doom and gloom, though. In 2009, for example, the index rallied 4.58% in the first 10 days, representing the best start in the dataset.
The worst starts occurred in 2020, when the S&P 500 plummeted 5.31% in the 10 opening days of the month, followed by 2011 (-4.15%) and 2008 (-3.34%).
| SPDR S&P 500 ETF Trust | From Sept. 1 to Sept. 10 (Last 25 Years) |
| Avg. Return | -0.14% |
| % Gain Hit Ratio | 40% |
| % Max Return | 4.58% |
| % Max Year | 2009 |
| % Min Return | -5.31% |
| % Min Year | 2020 |
| Year | Performance (%) |
|---|---|
| 2000 | -1.69 |
| 2001 | -2.97 |
| 2002 | 3.87 |
| 2003 | -0.82 |
| 2004 | 1.56 |
| 2005 | 1.72 |
| 2006 | -0.87 |
| 2007 | -2.21 |
| 2008 | -3.34 |
| 2009 | 4.58 |
| 2010 | 2.78 |
| 2011 | -4.15 |
| 2012 | 1.76 |
| 2013 | 2.73 |
| 2014 | -0.27 |
| 2015 | 2.13 |
| 2016 | -1.89 |
| 2017 | -0.51 |
| 2018 | -0.59 |
| 2019 | 2.54 |
| 2020 | -5.31 |
| 2021 | -1.41 |
| 2022 | 2.57 |
| 2023 | -1.26 |
| 2024 | -2.82 |
Unfortunately, the seasonality picture only deteriorates as the month progresses. Historical data shows that from Sept. 11 through Sept. 30, the S&P 500 tends to suffer even more.
Over the past 25 years, the index has declined an average of 1.69% during these remaining 20 days, suggesting that the second half of the month often compounds early losses.
The back end of September has been negative 16 times in the last 25 years—more than two-thirds of the time. Some years have seen catastrophic declines during this period.
In 2022, the S&P 500 plunged by 13.09% during the last 20 days of September, marking its worst late-September performance in recent history.
This sharp decline was largely driven by investor anxiety following the September 2022 FOMC meeting, where the Federal Reserve delivered its third consecutive 75-basis-point rate hike, pushing the federal funds rate to a range of 3.00% to 3.25%. The aggressive tightening was aimed at combating inflation, which was hovering at around 8-9% at the time.
On the day of the rate decision, the S&P 500 dropped 1.7% as Fed Chair Jerome Powell signaled that the central bank would continue raising rates “until the job is done,” heightening fears of a prolonged tightening cycle and its potential impact on the economy.
Other severe drops include 2002, when the index lost 10.25%, and 2008, with a 7.59% fall.
The trend of weak late-September performance isn’t limited to bear markets. Even in traditional bullish years, the S&P 500 often stumbles. In 2023, the index lost 4.68% in the last 20 days of the month, while 2019 saw a 1.2% decline.
However, not every bullish year is negative—2007 and 2006 both saw gains of 3.45% and 2.43%, respectively, but these instances represent the exception rather than the rule.
| SPDR S&P 500 ETF Trust | From Sept. 11 to Sept. 30 (Last 25 Years) |
| Avg. Return | -0.69% |
| % Gain Hit Ratio | 33% |
| % Max Return | 3.45% |
| % Max Year | 2007 |
| % Min Return | -13.1% |
| % Min Year | 2022 |
| Year | Performance (%) |
|---|---|
| 1999 | -4.59 |
| 2000 | -3.98 |
| 2001 | 0.13 |
| 2002 | -10.25 |
| 2003 | -2.26 |
| 2004 | -1.47 |
| 2005 | -1.05 |
| 2006 | 2.43 |
| 2007 | 3.45 |
| 2008 | -7.59 |
| 2009 | 0.78 |
| 2010 | 1.25 |
| 2011 | -3.02 |
| 2012 | 0.04 |
| 2013 | -0.82 |
| 2014 | -1.64 |
| 2015 | -2.6 |
| 2016 | -0.02 |
| 2017 | 0.81 |
| 2018 | 0.58 |
| 2019 | -1.16 |
| 2020 | 0.25 |
| 2021 | -3.91 |
| 2022 | -13.09 |
| 2023 | -4.68 |
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Image created using artificial intelligence via Midjourney.
Posted In: SPY
