From Standard & Poor's Equity Research
If the past is any guide, investors would do well not to expect stock market fireworks during this third quarter. History shows that the market tends to slip into neutral, if not reverse, during the July through September period.
The table below lists, in descending order, the average price change (excluding dividends) for the S&P 500 and its 10 sectors during the third quarter from 1990 through 2005, along with the frequency of market outperformance for these sectors. (S&P's GICS—Global Industry Classification Standard—has data going back to 1990.)
During this 16-year period, the S&P 500 posted an average decline of 2.0%, while eight of the 10 sectors in the S&P 500 also posted average declines. Only the Energy and Utilities sectors generated average increases in this challenging quarter.
Average Q3 Price Performances 1990-2005