September is the one calendar month with a consistently negative average in most developed equity indices. Schuldensuehner’s Bloomberg table for the Dax 1988–2026 (n=39): avg −2.0%, median −1.4%, hit rate 35.9% (lowest of any month), worst −25.4%, std dev 7.0% (highest). August is the runner-up (−1.8% avg, 48.7% hit). The text and the table agree — a rarity worth noting (Check the stat against its own chart).
How much to believe: the median is less than half the mean, so a few tail months (2001, 2002, 2008 — memory) pull the average, but even the median is the worst of twelve and the hit rate is a coin flip weighted against you. Nobody has a mechanism that survives scrutiny (fiscal-year-end fund selling, post-summer repositioning), and n=39 with a 7% std dev gives a standard error of ~1.1% on the mean — so “−2%” is real-ish but two standard errors from zero, not five. The honest use is as a base rate for sizing, not a signal: don’t add leverage into September on the strength of August, and treat “the curse is real” as a headline over a 36% hit rate. Same family as the US “sell in May” — averaged-calendar effects that are statistically visible and tradeably thin.