I took a look at weekly returns for the Russell 2000 for the week ending the second Friday in June when it is the second year of the election cycle. There have been five such weeks since the creation of the Russell 2000 index in 1987, and the index was down each time. Here is the data:
|Russell 2000 return for week ending second Friday in June|
|Second Year of Election Cycle|
|YEAR||1st Fri||2nd Fri|
The last three weekly returns in 1998, 2002 and 2006 were especially bad. It will be interesting to see if the pattern persists given we are coming off a big down day on Friday (Russell index down 5%) and the market already is somewhat oversold.
The 2010 reconstitution of the Russell Indexes will take place after the market closes on June 25, 2010. This should lead to increased volume in Russell 2000 stocks over the next few weeks.