The stock market hasn't exactly been setting the world on fire lately. Despite rallying sharply in 2003, the market has been swooning this year. The Dow Jones industrial average broke 10,000 (in the wrong direction) yesterday, the Standard & Poor's 500-stock index is closing in on 1,000 (from the wrong direction), and the Nasdaq has fallen back into the 19th century having started this year in the 21st. The Wilshire 5000 has been . . . well, weak. And now the legendary month of October is upon us. Yechhh. Why is October legendary? Not because of Halloween, but because October has produced a disproportionate number of truly spooky market days. It has become a market myth with some small grounding in fact: Beware October surprises.

The Dow's three biggest one-day percentage drops took place in October. That month boasts -- if that's the right word -- five of the 10 biggest one-day percentage drops in the Dow's history. Strangely enough, the Wilshire 5000, the nation's broadest market measure, has also posted five of its 10 worst single-day percentage declines in October. Why is that strange? Because these indicators measure different periods, with the Dow dating back to 1896, the Wilshire only to 1974.

I think the October record is a fluke. Four of the Dow's five awful October days came when market bubbles burst in 1929 and 1987, and the 1987 fiasco accounts for three of the Wilshire's worst days. Those bubbles could have burst at any time -- it just happened to be in October. So unless you see a market bubble -- I don't, at least not in the broad stock market -- October 2004 should hold no special terrors for you.

In any event, the idea popular among some investors that you can jump nimbly out of markets in time to miss the big drops but jump back in time to get big gains is nonsense. The only ones profiting from constant in-and-out trading by nonprofessional investors like us are the brokerage houses, which rack up fees coming and going. Besides, three of the Dow's and Wilshire's 10 best one-day gains have been posted in October, because of snapbacks from big declines. October ranks sixth among months in the size and frequency of gains in the Dow, according to Crandall, Pierce & Co., an Illinois financial research firm that recently analyzed the Dow's month-by-month performance dating back to 1900. In other words, October is about as average as you can get. In case you're wondering, September turns out to be the Dow's worst month by far. It's the only month that has racked up more losses than gains.

So I wouldn't spend a whole lot of time worrying about the next few weeks. My problem with the stock market -- and the bond market, for that matter -- is that things don't look very good for the next couple of years. Yes, I know that stocks have provided a really fine long-term return since Jan. 1, 1926 -- 10.3 percent a year, compounded, according to Ibbotson Associates. (That includes price increases, dividends and the gains from reinvesting those dividends to buy additional stock.) But I think the days of annual double-digit stock returns are over, at least for the next few years. The Ibbotson numbers include the 1982-2000 bull market, which gave an entire generation a misleading idea of how stocks perform over time. During the bull market, stocks averaged about 20 percent a year, more than double the 56 previous years. In the past 41/2 years, since the bull market ended, stocks have posted losses -- in the case of the Nasdaq market, enormous losses. Had stocks kept rising at their historical rate, they'd be almost 50 percent higher than they were in March 2000. Instead, they're lower.

And don't look to bonds to save you. The long bull market in bonds, which started in the early 1980s, has been over for more than a year. I think that if we're lucky, we'll get high-single-digit returns from stocks over the next few years, including dividends, and something less than that from bonds. Bonds have returned 5.4 percent a year, compounded, since 1926, according to Ibbotson.

So I'm not afraid of October in the stock market. My nightmare is that too many people operate under the delusion that the bull market of their formative years is the natural way of the world. These people, I fear, will trust the stock market to save them. They'll save less than they should, run their retirement accounts cluelessly and find their golden years filled with cat food rather than caviar. To me, those delusions are the true stock market horror story. Not October.

Sloan is Newsweek's Wall Street editor. His e-mail address is sloan@panix.com.