Last year there was a lot written about how in the 3rd year of a presidential term equity markets have had abnormally high returns. Perhaps because this didn't hold true last year, I haven't seen quite as much written about how markets have done in an election year for 2012. Below is the data for returns of the Dow in election years. Overall, the Dow has returned 7.55% on average in election years, which is not too far away from the long term average of 7.22%.
When the data is broken down for years in which the Presidency was handed off between parties though, the data changes a lot. In years that the Presidency shifted from a Democrat to a Republican or vice-versa the Dow has averaged a negative 4.5% return. Woodrow Wilson, Franklin Roosevelt, Harry Truman and Ronald Reagan are the only 20th century presidents to survive re-election with a negative Dow. Two of those Four were re-elected with the country on the brink of war, and Dewey famously "defeated" Truman, so Obama had better hope for a rally between now and November or otherwise start a war.