美国股市奇特的九月效应

As they turn the calendar to September, investors have good reason to be wary.

日子行进到九月，投资者有必要警惕起来了。

The docket is full of news that could disrupt the Standard & Poor's 500's roughly 7% climb since June. On Friday, the Labor Department releases the latest jobs figures. On Sept. 12, a German court rules on the constitutionality of a critical rescue fund for the euro zone. And the Federal Reserve is expected soon to make clear whether there will be a third round of 'quantitative easing.'

从日程表上的重要事件来看，标准普尔500指数自六月以来大约7%的升幅随时可能玩完。8月31日，美国劳工部(Labor Department)公布了最新的就业数据。9月12日，德国某法院将就欧元区一个关键的救助基金计划是否符合宪法规定作出裁决。此外，美联储(Federal Reserve)估计很快也将就是否推出第三轮“量化宽松”政策作出明确表态。

But of special interest to historians is the calendar itself. Put simply, Sept. 1 marks the start of a historically miserable month for stocks.

但在史学家的眼里，日程表本身最有意思。因为历史经验表明，一旦日历翻到9月1日，对美国股市来说就意味着悲惨的一个月开始了。

That isn't reason enough for investors to make any drastic moves with their portfolios. But they could profit by avoiding stocks that have suffered pullbacks, say some analysts.

这当然不足以促使投资者对自己的投资组合作出任何重大调整。但有分析师表示，投资者如果能够规避那些历来习惯在九月下跌的股票，就可能获利。

Since 1926, in any given month, stocks of large companies have risen 0.9% on average, according to Bank of America Merrill Lynch. But in September, they have fallen by 0.8%, the only month with a negative average return.

据美银美林(Bank of America Merrill Lynch)统计，自1926年以来的任意月份，大盘股平均上涨0.9%，但唯有九月其平均表现是下跌的，这个月大盘股平均下跌0.8%。

'For whatever reason, there's a predictable pattern where September has bad performance,' says Steven DeSanctis a strategist with Bank of America Merrill Lynch's equity research team.

美银美林股票研究团队的策略师史蒂文・德森提斯(Steven DeSanctis)表示，不论出于何种原因，九月美股表现差已经有定式可循。

The trend has baffled researchers for decades. Striking September events, such as the 2008 collapse of Lehman Bros. and the 2001 terrorist attacks, are partly responsible for the bad average, but they can't explain the problems entirely.

这种定式已经困扰了研究人员数十年。一些“碰巧”发生在九月份的大事件，例如2008年的雷曼兄弟(Lehman Bros)倒闭、2001年的恐怖袭击，与股市在九月份糟糕的平均表现不无关系，但即便如此，也无法完整地解释这个现象。

For example, stocks have risen in only 50% of Septembers since 1926, the worst of any month and far below the 61.8% average success rate.

例如，自1926年以来的所有九月中，只有50%的情况是股市上涨的，比其他任何月份的统计结果都要差，远低于61.8%的平均上涨几率。

If someone started investing in 1802 and kept his money in stocks only during September, he would have lost more than half of his money by 2006, according to researchers at the University of Kansas. Do the same during any other month, and he would have gained at least 79% during the period.

堪萨斯大学(University of Kansas)的研究人员发现，如果某位投资者从1802年进入股市，而且只在九月进行投资，那么到2006年他会亏掉一半以上的资金。而在同样的时间和条件下，如果换作其他任何一个月份，这位投资者的账面价值至少会上涨79%。

Explanations for the September swoon are hard to come by, and harder to swallow.

美国股市的九月厄运让人很难琢磨，而且至今也没有一个令人信服的解释。

The University of Kansas study suggests a sharp drop-off in the amount of daylight in New York in September might trigger seasonal affective disorder and make some traders more risk-averse. On average, New Yorkers see 3,147 fewer minutes of daylight in September than they do in August, the biggest drop of any month, according to the study.

堪萨斯大学的研究推测，九月份纽约白昼时间的大幅骤减可能引发了季节性的情绪紊乱，导致一些交易员的避险情绪加重。此项研究发现，在纽约，九月的白昼比八月平均减少3147分钟，减幅为各月之最。

But even the researchers aren't confident in that explanation. 'From the best of my ability, I think there's something up with September. No matter how you slice it up, it's bad,' says the University of Kansas' Mark Haug, one of the authors of the report. 'It's frustrating to not have an explanation.'

但即便研究人员自己对这个解释也不太确定。该研究论文的联名作者、堪萨斯大学的马克・豪格(Mark Haug)说，“我最多只能说，九月份确实有些不同寻常的事发生。不管是什么，都很糟糕。但找不到一个合理的解释让人很抓狂。”

To be sure, September's poor performance could be due to mere chance. 'I always look at this stuff and wonder, 'Is it randomness?'' says Sam Stovall, chief equity strategist with S&P Capital IQ.

当然，九月股市表现糟糕也可能完全属于偶然事件。标普资本智商公司(S&P Capital IQ)首席股票策略师山姆・斯托瓦尔(Sam Stovall)表示，“我每每想到这件事，就忍不住纳闷，‘这会不会就是随机性的呢？’”

Mr. Stovall's theory: poor earnings guidance for the third quarter and the rest of the calendar year causes weary investors to sell shares.

斯托瓦尔的解释是：公司欠佳的第三季度及当年后续时间盈利预测促使谨慎的投资者抛出股票。

Another possibility posed by researchers: tax-loss harvesting. A 1986 law forced most mutual funds to move the end of their tax years to October. So, many portfolio managers might be selling stocks with recent losses in September and October to take advantage of tax breaks, says Scott Gibson, a finance professor at the College of William and Mary who has studied the phenomenon.

研究人员提出的另一个猜想是：税收亏损收割(tax-loss harvesting)。根据1986年制定的一项法律，大多数共同基金的税收年度必须在10月份截止。威廉玛丽学院(College of William and Mary)的金融学教授斯科特・吉布森(Scott Gibson)对此现象也进行了研究，他表示，因为这个规定，很多投资组合基金经理可能会在九月和十月卖掉最近有浮动亏损的股票，以获得减免税的好处。

In 1990, when the rules took full effect, stocks with recent losses that were widely held by mutual funds lagged their benchmarks by almost 7 percentage points in October. Those same stocks beat their benchmarks by nearly 7 points in November, as the effect wore off, Prof. Gibson says.

吉布森教授指出，1990年，上述法规完全生效时，共同基金普遍持有的最近浮亏的股票在十月份跑输对应的基准指数近七个百分点。而到了十一月，税收效应消失后，同样一拨股票又跑赢基准指数近七个百分点。

Since then, the effect has become less pronounced, presumably as more mutual funds caught on.

此后，税收效应的影响变得不再那么明显，这或许是因为有更多共同基金参与了进来。

But Prof. Gibson says it is strong enough that investors looking to pick up shares on the cheap would be well-served to wait. Companies that have more than 5% of their shares held by funds and have seen recent losses are candidates for continued drops in September and October, he says.

但吉布森教授表示，税收效应的影响还是很大的，希望抄底的投资者应当耐心等待。他说，基金持股比例超过5%且近期有浮亏的上市公司，其股价最可能在九月和十月继续下跌。

That would disqualify computer-seller Dell, which has dropped 10.8% in the last three months and is about 32% owned by mutual funds.

电脑销售公司戴尔(Dell)似乎很符合这个标准，该股过去三个月下跌了10.8%，其共同基金的持股比例高达32%左右。

Other companies with poor recent performance and high fund ownership include Delta, Ford, Hewlett-Packard,Netflix, and Research In Motion.

其他近期股价走弱且基金持股比例较高的上市公司包括达美航空(Delta)、福特汽车(Ford)、惠普(Hewlett-Packard)、Netflix和Research In Motion等。

But with rational explanations hard to come by, investors should stop short of making big moves out of equities, Mr. Stovall says.

但斯托瓦尔指出，对于美股的九月厄运，由于很难找到合理的解释，投资者也不应大举做空股票。

'You're better off treating this information the way you would the pilot coming over the loudspeakers and saying 'Please fasten your safety belt,'' Mr. Stovall says. 'He's not saying 'Don the parachutes and assemble by the door.''

斯托瓦尔说，对于这个九月效应和分析人士的提醒，投资者最好就像在坐飞机时对待机长通过麦克风的喊话一样，“系好安全带”就行了，而不应将机长的喊话理解为“背上降落伞包，到机舱门口集合”。