When we measure monthly performance as a percent gain or loss from the previous monthly close, September has the distinction of being the worst performing month in the S&P 500 since 1928, which is far back as I have S&P monthly close data.*

Each bar in the chart shows the September close change from the August close. Since 1928 September closes have averaged -1.21%. The only other month with a negative average change is February, with a -0.31% over the same timeframe.

For previous posts on seasonality, see August and also my "Behavior of the Months" series: Part 1, Part 2 and Part 3. For an interesting international website with more detail on seasonality and the driving forces behind it, see seasonalcharts.com.