Following is a table giving monthly returns of Nifty index since Nov 1995 to Feb 2009.  Nov to Feb months have been averaged over 14 data points, the rest have 13 data points.

Month	Avg Returns (%)
Jan	-0.38
Feb	3.18
Mar	-2.07
Apr	1.24
May	-0.95
Jun	1.36
Jul	0.95
Aug	1.69
Sep	0.07
Oct	-2.19
Nov	2.02
Dec	5.83

There are some interesting observations:

 

1. The idea of pre-budget rally in Feb of each year has some support from data given 3.18 % average return in Feb.

 

2. The market lore of year end rally is also supported given good Nov and hefty Dec returns on average.  If you trade long, you have to be in market in those months.

 

3. March is a negative month.  March has just begun, and I wanted to check for myself the truth about negative sentiment associated with month of March.

 

4. The wall street adage of “Sell in May and go away…” also seems to be supported by Indian market.  May to Sep are months with relatively low percent changes.