I believe one of the best studies provided in the Forbes:
The S&P 500 has averaged a 0.56% decline in September each year since 1945 while April’s average 1.71% gain was the highest. In fact, the benchmark index dropped 55% of the time in September over this period, compared to just 24% of the time in December.
The picture is even darker when it’s the first September in a new presidential term, notes CFRA analyst Sam Stovall; the index has seen an average decline of 0.73% since 1945.
Nor does it seem to matter if the market has been on a hot streak. “Following the 14 years that new S&P 500 highs were set in both July and August, the S&P 500 declined an average 0.74% and rose only 43% of the time,” wrote Stovall.
I will wait to have more evidence to go long, there could be another down leg!