The S&P 500 has lost an average of 0.58 percent in February over the last 20 years, making it the weakest month for stocks, according to Schaeffer's.
Stocks fell Thursday as weaker earnings and concerns about Europe overshadowed healthier signs for the U.S. economy.
Fewer Americans sought unemployment benefits last week, a sign that layoffs are easing. Applications fell 5,000, to 366,000. But the stock price of News Corp. fell 66 cents, or 2.3 percent, to $27.52, after the media conglomerate cut its forecast for annual earnings, citing weakness at several businesses, including its Fox broadcast TV network.
Among other stocks making moves was Sprint Nextel Corp., which fell 3 cents, or 0.5 percent, to $5.74. The country's third-largest wireless carrier lost $1.3 billion in its latest quarter as it revamped its network to take on larger competitors. The company also lost 243,000 customers in contract-based plans.
Investors also worried about comments from European Central Bank president Mario Draghi, who pledged to keep a close eye on the rising euro, fearing that the currency's rally in recent months could hurt exports and further harm the region's fragile economy.
"You could have very weak growth in Europe for the next five or 10 years," said Michael Sheldon, chief strategist at RDM Financial Group. "There's a lot of austerity going through the European markets, so it's going to be a long time before they reestablish themselves."
Most of Europe's major stock indexes ended the day lower. Only Germany and Greece bucked the trend.
Europe has returned to investors' radar after several months of relative quiet. Stocks fell Monday, partly because of a spike in borrowing costs for Italy and Spain. That reignited concerns that those countries won't be able to service their debts.
Still, some say that the decline is more of a pullback than a sell-off.