The Dreaded September Effect, from Alston Mabry

2013-09-02 · Alston Mabry, Ralph Vince
Original source

The dreaded September effect reminded me of "Sell in August and Go Away?" but certainly bears rechecking.

Ralph Vince writes:

I think Dr Z's study focuses on 2000-2013.

Curious and needing to do some counting, however simple, I looked at SPY monthly moves 1993-present, and got these stats.