Research Excerpts

Seasonality: This Week Could Be Rough,
But Better Days Ahead?

Posted on: Sunday, September 25th, 2011

The following is an excerpt from our September 2nd Global Seasonal Analysis report (access requires subscription), one of 8 different reports that Asbury Research produces for subscribers at various intervals throughout the month.

S&P 500 Monthly Seasonal Pattern Since 1957

In the US S&P 500 Index the green bar in the chart below highlights September as the seasonally weakest month of the year in the US broad market index since 1957.  September represents a sharp one-month decline from August, which is the 6th strongest month, but also leads into a Q4 recovery that accelerates into December.  

November and December are the 3rd and 1st seasonally strongest months for the S&P 500 during this 54-year period.

S&P 500 Weekly Seasonal Pattern In Q3 Since 1957

Our next chart breaks the seasonal pattern in the S&P 500 down further, into a quarterly time frame via 13 weekly increments.  The green columns show that the month of September includes three of the four seasonally weakest weeks of the entire 3rd Quarter , including this upcoming week which has been the weakest of the entire quarter.

I referred to the charts above back on June 2nd when I was a guest of CNBC’s Closing Bell (click the link to view it), during which I pointed out the 54-year seasonal tendency for a modest seasonal US stock market rebound in July that leads into acute seasonal weakness into September.  This year the S&P 500 rose into the 1356 July 7th high, according to the historical pattern, before collapsing by 254 points or 19% into the August lows – which are now being re-tested as of the end of last week.

Althoughthe seasonal tendency since 1957 has been for even more acute seasonal weakness during the last week of September, our seasonality data for the 4th Quarter does suggest the potential for a significant rebound that – assuming the larger seasonal pattern as shown in the first chart emerges again this year – could precede a performance chasing-driven recovery into year end.


As I stated in my CNBC interview, seasonality data are particularly useful when they corroborate what we are seeing in other key market factors including intermarket relationships, investor sentiment, relative performance, market breadth and volatility.

Asbury Research subscribers can get our latest market analysis by logging into the Research Center of our website at www,asburyresearch.com.

Interested investors can learn more about our investment research including sample reports, client testimonials, our 2010 and YTD 2011 market calls, and John Kosar’s recent appearances in the media right here on our website.