Is September really the worst month for stocks?

By average return, yes. Using SPY total returns from Dec 1999–Dec 2025, September averages −1.19% — the only month meaningfully in the red and the worst of the twelve.

The nuance: it is not that September loses often (14 up / 12 down, a 53.8% win rate). It is that when it falls, it falls hard. February is the only other negative average, at −0.24%.