September is the cruelest month.

By Mark Hulbert, MarketWatch

CHAPEL HILL, N.C. (MarketWatch) — "The stock market definitely has its work cut out for it in September.

The month’s historical record is nothing short of dismal, and there doesn’t appear to be any easy way to wriggle out from underneath the sheer force of that record.

Since 1896, for example, when the Dow Jones Industrial Average DJIA +0.46%   was created, the Dow has lost an average of 1.07% in September. The average gain for all other months is 0.71%. That spread of 1.78 percentage points is statistically significant at the 95% confidence level that statisticians often use to determine if a pattern is most likely genuine.

Furthermore, there has been a remarkable consistency to the stock market’s dismal performance during September. During each of the last nine decades, for example, September’s rank relative to other months in terms of performance has never been higher than ninth. It was dead last in five of those nine decades — including the most recent one.

To be sure, September’s terrible reputation is widely known, and patterns often stop working once too many investors begin trying to exploit them. But the pattern has been widely known for many years already, and shows no signs of weakening.

Might this coming September escape these odds, since the last several months have been such tough ones for the stock market? Unfortunately, it’s difficult to make this argument on the basis of the historical record.

In past Septembers, in fact, the stock market on average has performed even worse whenever the months immediately preceding it were bad ones for the stock market.

Like now, for example.

The bottom line? September’s terrible record is like a crime without a motive. Be bullish at your peril."