Historically, December has comfortably been the best return month for equities. Since 1946 the average return on US equities averaged 1.8% in December, 0.4% better than the second best month, April. The difference between the best and worst return month (September) averaged 2.3%, which is both statistically and economically significant.

The results for December are even more impressive if we also look at the percentage of months in which the return was negative. For all months the return was negative in 41% of the time. As the graph below shows, two months deviate substantially from this average, September and December. Historically, only 22% (roughly one in five) of the December months resulted in a negative return for US equities. That is half that of the overall average. December definitely stands out as the best return month. Historically, of course.