Its that time of year again.  The leaves are turning, football fills our Sunday afternoons, and microcaps face their strongest seasonal headwinds.

Nobel prize winner Eugene Fama and Kenneth French measured the annualized microcap returns by month from July 1926 to December 2004:
January………159.82%
February………25.10%
March……………1.21%
April…………….12.86%
May……………….6.85%
June………………6.57%
July……………..22.64%
August………….8.16%
September…….-7.75%
October……….-14.60%
November……….7.97%
December………-1.94%

The data is a little old, and a case can be made that the environment this year is so different that historical tendencies will have little effect.

While I hear that argument, I don’t buy it.  The French/Fama data incorporates all kinds of environment and uses the broadest data set I know of.  In my view, it should be considered valid until proved otherwise.

Related posts:

1. Are small cap stocks really outperforming large caps?
2. Quick hits (gold stocks, bankruptcy stocks, RHD, market outlook, FPBF.PK, CVM)
3. Halloween special: 5 morbid small stocks (LPHI ROAC MATW STON DAR)