SPY September price return, year by year
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-09-26, from The September Effect: Is It Real? SPY Data.
| year | sep_return_pct |
|---|---|
| 2004 | 0.59 |
| 2005 | 0.38 |
| 2006 | 2.25 |
| 2007 | 3.38 |
| 2008 | -9.94 |
| 2009 | 3.05 |
| 2010 | 8.38 |
| 2011 | -7.42 |
| 2012 | 1.99 |
| 2013 | 2.66 |
| 2014 | -1.84 |
| 2015 | -3.06 |
| 2016 | -0.5 |
| 2017 | 1.51 |
| 2018 | 0.14 |
| 2019 | 1.48 |
| 2020 | -4.13 |
| 2021 | -4.97 |
| 2022 | -9.62 |
| 2023 | -5.08 |
| 2024 | 1.79 |
| 2025 | 3.28 |
- Rows × columns
- 22 × 2
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
year |
number | 2,004 to 2,025 | |
sep_return_pct |
number | -9.94 to 8.38 | percent |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
WITH month_ends AS
(
SELECT
toStartOfMonth(date) AS month_start,
argMax(toFloat64(close), date) AS month_end_close
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date < toStartOfYear(today())
GROUP BY month_start
),
monthly_returns AS
(
SELECT
month_start,
month_end_close,
lagInFrame(month_end_close, 1) OVER (ORDER BY month_start ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS prev_close
FROM month_ends
)
SELECT
toYear(month_start) AS year,
round((month_end_close / prev_close - 1) * 100, 2) AS sep_return_pct
FROM monthly_returns
WHERE prev_close > 0
AND toMonth(month_start) = 9
ORDER BY year
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