Kensho Stats

Octobers during election years are often volatile

Voting place booths elections
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History shows that market volatility surges in October during election years, and in the wake of a fiery first presidential debate between Hillary Clinton and Donald Trump, investors believe 2016 won't be any different.

"With the US election looming, geopolitical concerns continue to dominate as a key market risk," stated Barclays' "Global Macro Survey" report out this week to clients. "Investors seem convinced that the U.S. election campaign is likely to drive market volatility."

Using Kensho, an analytics tool deployed by hedge funds, CNBC PRO ran a study of the last six election years.

We found that the CBOE Volatility Index jumped every single year of the study. The so-called fear gauge posted average increases of 20 percent.

The S&P 500, on average, fell by nearly 3 percent during October of election years.

But what should be more worrying to investors is that gold, a traditional macroeconomic safe haven, typically declined as well. That means there may not be anywhere to hide during election volatility.

There are some exchange-traded securities that track the VIX, but they are only for investors that can handle the risk inherent in such a leveraged product.

Disclosure: NBCUniversal, parent of CNBC, is a minority investor in Kensho.