September forex seasonals: It’s a bad month for stock markets

August was a story in two parts with the risk rally continuing in the first half with the S&P 500 peaking on August 16 followed by a sharp reversal to finish on the lows. Most markets followed a similar path, including the US dollar index, which bottomed on August 11.

That two-part move didn’t make for a simple seasonal trade last month and led to mixed results on the seasonal scorecard.

September is a month of much better liquidity but with the return of policymakers and news, it’s less of a flow-driven market and that diminishes the influence of seasonals. In any case, here are some highlights (all averages over the past 20 years):

  • Second worst month for the DAX (after August) but is followed by a strong three month run. German bears may want to find a dip to buy rather than selling here, though the energy disaster will be what determines what happens next
  • September is the start of a strong three-month seasonal run in natural gas
  • September is the start of a weak three-month seasonal run in WTI crude oil
  • Worst month of the year for the MSCI world index
  • Second worst month for the Nasdaq
  • Worst month for the S&P 500
  • Second worst month for silver

There isn’t any FX on that list and that’s because there is no real trend. You would expect some USD or yen strength with the broad risk averse tone but it doesn’t really appear in the numbers. That argues for focusing on the fundamentals and with non-farm payrolls, the ECB and BOC coming quickly, we won’t have to wait long.



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