S&P 500 Monthly Seasonal Returns
Direct answer: The S&P 500 shows seasonal patterns: January, April, and November-December are historically the strongest months. September is historically the weakest month (-1.0% average). “Sell in May and go away” has statistical support but is inconsistent across individual years.
Average S&P 500 monthly price return (1928-2024 approximate)
| Month | Average return | Std deviation | % positive years |
|---|---|---|---|
| January | +1.0% | ~5.5% | ~59% |
| February | -0.1% | ~4.3% | ~53% |
| March | +0.9% | ~4.4% | ~61% |
| April | +1.4% | ~4.1% | ~63% |
| May | +0.2% | ~4.0% | ~57% |
| June | +0.1% | ~4.3% | ~54% |
| July | +1.0% | ~4.5% | ~59% |
| August | +0.1% | ~4.4% | ~55% |
| September | -1.0% | ~4.9% | ~44% |
| October | +0.8% | ~5.3% | ~59% |
| November | +1.4% | ~4.0% | ~65% |
| December | +1.4% | ~3.6% | ~72% |
Source: NYU Stern: Historical Returns. Last verified: September 2026.
Frequently asked questions
Is "Sell in May and go away" a real effect?
The "Halloween Effect" or "Sell in May" strategy has statistical support: the May-October period historically underperforms the November-April period. Academic research (Bouman and Jacobsen, 2002) found the effect in 36 of 37 countries studied. The S&P 500 has averaged approximately +2% from May-October vs. +7% from November-April. However, high year-to-year variability makes this unreliable for individual years. In some years (2020, 2021), May-October was excellent; in others, selling would have been wrong. After transaction costs and taxes, the strategy's edge is minimal.
What causes the September seasonal weakness?
September's historical weakness (-1.0% average) has several potential explanations: (1) mutual fund fiscal year-end tax-loss selling (many fund fiscal years end September 30); (2) return from summer with portfolio reviews and risk-off activity; (3) end of summer vacation reduces liquidity; (4) psychological back-to-work risk reassessment. The weakness is one of the most statistically consistent seasonal patterns across decades and international markets, but any individual September can be strongly positive (September 2010: +8.8%; September 1939: +16.9%).
Is the January Effect still a real phenomenon?
The January Effect (small-cap stocks outperforming in January) was well documented in academic literature through the 1980s. Since then, increased awareness and institutional arbitrage have largely eliminated it. Small-cap January returns are no longer systematically abnormal. However, a weaker version persists: year-end tax-loss selling depresses small-cap prices in December, with some mean reversion in January. The original broad-market January Effect has also become less reliable as markets have become more efficient.