From a seasonality standpoint, there isn’t a more reliable time of the year to have a selloff than this upcoming week. In the past I have referred to is as “The Weakest Week”. Since 1961 the week following the 3rd Friday in September has produced the most bearish results of any week. Below is a graphic to show how this upcoming week has played out over time.
As you can see the bearish tendency has been pretty consistent over the last 56 years. There was a stretch in the late 80’s where there was a series of mild up years. Since 1990 it has been pretty much all downhill. Below is a table showing results of buying Sept. op-ex Friday and then selling X days later from 1990 – 2016.
The consistency and net results appear quite strong. I note the only instance that didn’t post a lower close at some point during the following week was in 2001. And the 9/11 attacks certainly made for unusual circumstances that year.
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Rob Hanna is the founder of Quantifiable Edges, a quantitative market research service he has run since 2008. His research focuses on statistical analysis of U.S. equity markets, including studies on FOMC patterns, VIX dynamics, seasonal effects, gap behavior, market breadth, and other quantitative edges. In 2009 he published "The Quantifiable Edges Guide to Fed Days," available on Amazon. He was named the 2024 recipient of the National Association of Active Investment Managers (NAAIM) Founders Award and currently serves on the NAAIM Board of Directors. His articles have appeared in several trading and investment publications, and he has been a guest on numerous trading podcasts. Rob has been a featured speaker at annual conferences for the CMT Association (formerly Market Technicians Association), the American Association of Professional Technical Analysts (AAPTA), and NAAIM. He ran a private investment partnership from 2001 through 2019 before joining Capital Advisors 360 as an investment advisor representative, where he trades quantitative and volatility-based models for clients.. Follow him on Twitter / Facebook.
