Over the last six months, Thursdays have become the market's problem child. 

Data from Bespoke Investment Group shows that over the last six months the S&P 500 (tracked by the SPDR S&P 500 ETF Trust (ARCA:SPY)) has averaged a 0.54% decline on Thursdays, by far the worst performance of any trading day during that period. 

SPY shares are moving. See the chart and price action here. 

Friday hasn't fared much better, slipping an average of 0.08%, while the first three trading days of the week—Monday through Wednesday—have all recorded average gains.

The pattern has been so consistent that it raises eyebrows among traders looking for short-term seasonal trends. 

According to Bespoke's six-month data, investors would have been far better off limiting exposure to just the first three days of the week. 

Hypothetically, an S&P 500 strategy that bought at the ...