SAD ... and September returns 
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There's this interesting paper by Kamstra et al
(of the Federal Reserve Bank of Atlanta).
Since the worst market returns occur in the Fall, then ...
>Is that true?
Take a look:
You'll notice that, although October had the '29 and '87 crashes, it's August and (especially) September that had the worst average returns.
>Okay, so why do you call this tutorial "SAD"?
That stands for Seasonal Affective Disorder, a medical condition that relates the shortness of days in the Fall and Winter to
depression.
>Summer's over, I'm sad. Right?
Something like that. In any case, that paper suggests that it's SAD and seasonal depression that accounts for the poor average returns in the Fall.
Indeed, it's not so much the season of the year but the number of hours of daylight.
However, the shorter days start in the Fall in the Northern Hemisphere, but months later in the Southern Hemisphere, so you might expect ...
>The lousy returns occur months later ... in the South.
Yes, that's their thesis.
So I downloaded a bunch of Indexes and looked at the monthly averages. This is what I got:
>Why the different time periods?
That's all I could download from Yahoo.
>Uh ... I don't see the big difference, do you?
Nope, but ...
>What if I choose different countries?
Be my guest.
The spreadsheet that gives the pretty charts above? It looks like this:
Just click on the picture to download ... and play. 
(You can download up to 8 stocks or funds, but you can also choose to download fewer than 8.)
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Although the spreadsheet asks for 50 years of monthly data, Yahoo provides whatever it has ... and that's what's used. 
Then, after typing in up to eight stock symbols in row 4 (and a name in row 3)
and clicking a button, you get a chart
for each stock, with the average return for each month. They look like so >Are you sure?
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And some Vanguard Funds
>If the stock goes down in September and has good gains until, say March, shouldn't I ...?
BUY at the end of September and Sell in March?
Hmmm ...
Click to continue