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September swoon playbook: Avoid Apple, buy Nike

Use THIS September swoon investment strategy

August and September are historically the worst months of the year for stocks.

True to form, August 2015 has been a doozy so far, taking investors on a wild ride that saw the Dow Jones industrial average travel over 10,000 points in just four sessions. As of Friday morning, the has lost 5.5 percent since the beginning of the month.

September could be perilous for your portfolio, too. Not only does history show that markets typically lose ground in September, but a potential interest rate hike by the Federal Reserve may make this autumn especially unnerving.

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So, what's an investor to do?

We crunched the numbers with Kensho, a data analytics platform, to find some clues.

Traders work on the floor of the New York Stock Exchange.
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Perhaps it's the back-to-school spread of germs or the dropoff in amount of daylight—but whatever the reason, health-care stocks have been relative outperformers in September over the past 25 years.

Over that period, the sector has returned over 1 percent on average during the month while the S&P 500 averages a loss of 0.4 percent. Individual health-care stocks that outperform include Mylan and Patterson, which have averaged returns of 3.9 percent and 5.8 percent, respectively, and both traded positive more than 70 percent of the time.

Humana also holds up relatively well, returning 2.7 percent on average during the month.

As the seasons change, it's out with the flip-flops and in with the boots and sneakers. The S&P 500 Footwear subindex has been a major September outperformer over the last 25 years, returning 5.2 percent on average and trading positive 75 percent of the time.

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Nike has been the best Dow stock over that period with an impressive 6 percent average return—far outperforming other Dow components and the Dow itself, which has traded negative the majority of the time and lost 0.8 percent on average in September since 1990.

Autumn may be time for back-to-school shopping and loading up on the newest gadgets, but beware of Apple.

Historically, Apple stock has been extremely volatile in September. Apple has seen negative monthly returns in September in four of the last five years. By averaging out its performance over the last 25 years, an investor can see that Apple has been the worst Dow and S&P 500 September stock—losing ground more than 70 percent of the time and falling nearly 6 percent on average.

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More traditional back-to-school retailers Staples and Office Depot have performed better, but they have not been as consistent as one may have thought. Staples has traded positive 64 percent of the time while Office Depot has only gained 57 percent of the time in September.

E-commerce giant, Amazon, on the other hand—is a safer bet. Over the 18 years since the company went public, it has returned 7.8 percent on average and traded positive nearly 80 percent of the time in September.

The wild ride that was August is nearly done and dusted. And as the weather gets cooler and the days shorter, make sure you're prepared for the September swoon.

Disclosure: NBC Universal, the parent company of CNBC, is a minority investor in Kensho.