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The September Effect: Is It Real? SPY Data
The three worst SPY Septembers on recordranking · 2026-09-26 · 3×2Preview: 3 ranked values, smallest first. SPY September price return, year by yearranking · 2026-09-26 · 22×2Preview: 16 ranked values, smallest first. SPY monthly price returns by calendar month, complete years onlytable · 2026-09-26 · 12×6 Average September vs. the other eleven months, by decaderanking · 2026-09-26 · 3×4Preview: 3 ranked values, largest first.
The three worst SPY Septembers on record

The three worst SPY Septembers on record

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The three worst SPY Septembers on record — 3 rows by 2 columns, computed from US exchange, SIP and OPRA data.
labelsep_return_pct
Sep 2008-9.94
Sep 2022-9.62
Sep 2011-7.42
the exact SQL behind every number
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
    formatDateTime(month_start, '%b %Y')               AS label,
    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 sep_return_pct ASC
LIMIT 3
$