Many investors believe October is the worst month for equity market returns. This can be partly attributable to the fact some large one day declines have occurred in October. The one market decline many investors think of is Black Monday that occurred on October 19, 1987 when the Dow Jones Industrial Average fell 508 points or 22.6%. In actuality though, the worst month for market returns is September. Although the average return in September is negative, the magnitude of the decline was no worse the -1-1.5%.

The below chart from Chart of the Day details the average monthly returns for the Dow Jones Industrial Average for two time periods: 1980 - present and 1950 - present.