The September Effect: Is It Real? SPY Data
The three worst SPY Septembers on recordranking ·
2026-09-26 · 3×2
SPY September price return, year by yearranking ·
2026-09-26 · 22×2
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 · 3×4
The three worst SPY Septembers on record
The three worst SPY Septembers on record
| label | sep_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
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