It is absolutely true that September is the unkindest month as far as stock prices are concerned. While August and October are the most volatile months (see "Stocks in August -- A Volatile Month"), September is the only month with a negative average return -- based on the S&P 500 from 1896 to 2009 (see chart). Lest one think that the September average is skewed by a few big down months -- t'ain't true. Of the 113 Septembers from 1896 to 2008 only 49 registered positive returns and in the past ten years Septembers have been much more negative than not. Why this should be true is not clear to me but judging from the above average positive returns in July and August perhaps it's because the adults have returned from summer vacation.