Investors are headed into the worst time of year for stocks. Here’s why September is brutal for the market.

Adobe Firefly, Tyler Le/BI

The S&P 500 has a history of underperforming in September.

Volatility rises in the month as traders reposition their portfolios.

Several market-moving events could make this September especially unique.

As August closes out the summer season, the S&P 500 may soon take its own holiday.

On average, September has been the worst month for the benchmark index going back as far as 1928. Not only do stocks regularly underperform, it’s also not unusual for the market to end the month with a negative return.

According to CME Group data from last year, the S&P 500 has lost ground in 55% of Septembers over the the last century. More recently, the index has dropped for the last four years, Deutsche Bank added.

A big culprit is the higher trading volumes as Wall Street gets back to work after Labor Day.

With more traders out on vacation during the summer months, stock activity tends to lag, resulting in stronger market performance amid thinner trading volumes.

SoFi’s Liz Young Thomas noted that S&P 500 monthly trading volumes average 15.2 billion shares between June and August. But when investors return to their desks in September, volume jumps to 17.2 billion shares.

“People are coming back in and starting to trade again. You’ve just got more activity in the market, which can lead to volatility,” the head of investment strategy told Business Insider, adding: “Just naturally, people might take a look at portfolios and say: ‘I’m a little overweight the Mag Seven, or I’m a little overweight large-cap equity, or I’m just overweight equity in general.””

September experiences some of the year’s most volatile swings, and 2% moves in either direction are a norm for the S&P 500, she said. Although volatility continues through the fall, September stands out for the fact that downside swings widely outweigh upside momentum, she said.