What is August really about? Owen Lamont, senior vice president and portfolio manager at Acadian Asset Management, suggests that for normal people, it’s about relaxing on the beach, but for financial markets, it’s “panic season.”
Lamont, who is a leading economist at the $150 billion quantitative hedge fund and has been a faculty member at Harvard University, Yale School of Management, University of Chicago Graduate School of Business, and Princeton University, looked back at financial history and found a startling pattern. “Even if systematic equities aren’t your thing,” he wrote on his Acadian blog, Owenomics, “you need to be mentally prepared for an epic financial disaster over the coming three months.”
His research draws a direct line between the timing of many of the most devastating financial crises and a centuries-old pattern: Market crashes tend to cluster during the so-called harvest time, spanning August to October.
The historical pattern
“For grizzled practitioners of systematic equity strategies,” Lamont writes, “August is the cruelest month.” He cast his mind back to the “quant quake” of August 2007, writing that analysts ever since have spent August “compulsively checking our phones and having nightmares about screens full of glowing red numbers.”
