"Sell in May and go away", summer rallies, the January effect — all are familiar phrases to seasoned investors (pun intended). Is there any truth to market seasonality? The accompanying chart shows the monthly performance the S&P 500 since 1950. The blue bars represent the average monthly close change from the previous month.

At least since 1950, there have been some broad patterns of good months and bad months. Of course, monthly performance in any given year is anyone's guess. But the chart shows some recurring patterns: January does tend to outperform, but so do March and April. July has often been host to summer rallies, certainly in comparison to the lackluster June and August. November and December tend to end the year on a high note. Together with January, March and April, they've combined to inspire the "Sell in May, buy Halloween" strategy. February is the naughty winter month. In some years, like the groundhog, the market must see its shadow and go into hibernation.

If February is often naughty, September has been worse, the chronic bad month. October appears to mark a rebound to average performance. But it has a history of deception. It is the most volatile month — the one with the widest range of interim highs and lows. It also has a bit of manic-depressive disorder disguised by its 0.61% average gain over the September close. Of the eight previous bear markets since 1950, four of them bottomed out in October (1957, 1966, 1974 and 2002). In 2008, this month was host to the worst monthly performance (-20.39%) since the Great Depression. It is also remembered by older investors for Black Monday, the worldwide market crash on October 19, 1987. In its happier mood, October 9, 2007 marked the all-time nominal high in the S&P 500.

Later this week we'll look at another way of measuring historical monthly performance — one that provides significantly different results.