BEARISH SEASONALITY AND STRUCTURAL RESILIENCE: CONSTRUCTING A DEFENSIVE PORTFOLIO FOR THE SEPTEMBER EFFECT IN 2024 AND 2025

Abstract

This research structures and theoretically validates a defensive investment portfolio designed to counteract the historical "September Effect" observed in U.S. equity markets since 1928. Grounded in the Efficient Market Hypothesis and the Betting Against Beta (BAB) anomaly, the study allocates capital across five low-volatility, low-beta instruments—Consumer Staples (XLP), Utilities (XLU), Healthcare (XLV), Gold (GLD), and short-term Treasury bills (BIL)—chosen for their historical resilience during periods of institutional risk aversion. Using a descriptive, non-experimental, documentary, and cross-sectional design, a historical backtest compared the portfolio's weighted returns against the S&P 500 (SPY) benchmark during September 2024 and September 2025. The results show the defensive portfolio generated positive absolute returns of 2.07% and 2.12% in each period, driven mainly by Utilities and Gold. However, the S&P 500 did not experience its traditional seasonal decline, instead rallying with returns of 4.25% and 4.34%, causing the defensive portfolio to underperform the benchmark on a relative basis. These findings indicate that while the BAB-based strategy successfully preserved capital, strong macroeconomic bull-market conditions can override historical seasonal anomalies.