Is September a Bad Month to Invest in the S&P 500?

Historical return analysis does show that September has the lowest average return of all months. However, this average is not particularly meaningful due to the high dispersion of returns, with the standard deviation being nearly five times larger than the average return. This large variation suggests that the mean return alone doesn't provide a reliable indication of how the market performs in September.

Other metrics, such as the median return and the probability of a positive return, are can be more useful when assessing seasonality. For example, the S&P 500 has posted a positive return in only 43% of Septembers, and 50% of the time, the return has been -0.56% or worse. Overall, these statistics suggest that buying the S&P 500 at the start of September tends to be a risky move, with the odds generally stacked against you.