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This chart shows why September could be an ugly month for stocks

September isn’t starting out any better for investors. The Dow Jones Industrial average was down 300 points at midday on Tuesday. But perhaps we shouldn’t be surprised. If August is any guide, and history says it will be, September may not offer any relief for battered investors.

The market was down just over 6% in August, making it the worst month for the market in a long time. It was also the seventh worst August for stocks going all the way back to 1945. That may actually be worse news than it seems. When the market drops in August, September tends to follow.

Sam Stovall, the U.S. equity strategist at S&P Capital IQ, took a look at the the correlation between August and September stock market performance. What he found is that when the market falls by more than 5% in August, over 80% of the time stocks tend to fall or be flat in September. During six of the 11 times stocks tumbled in August, they had a bigger or similar fall in September. For instance, the most recent down August was in 2011. The S&P 500 fell 5.7% that month. The following month, in September, stocks were down 7.2%. The average market drop during September months following a down August is 4%.

In the short-term, momentum, especially when there are big moves in the market, tends to be a pretty good indicator of where the market is headed. Yes, the market is a random walk, but there is also a fair amount of herding. We tend to all randomly walk together. So it’s not all that surprising that a bad August, or any month, would lead to another down month for the market.

But Stovall suspects (he hasn’t actually run these numbers) that negative August market performances have a stronger connection to bad news in September than other months. That’s because September is already a worrisome month for stocks. Yes, the big memorable drops have come in October, like in 1929, 1987, and 2008. But going back to 1945, September has a pretty bad track record as well. Stocks tends to drop 55% of the time in the month, which is significantly more often than other months. Stovall says a bad August just adds fuel to the fire. And this year, you have the added problems of a slowing China, weak U.S. corporate profits, and the possibility of an interest rate hike from the Fed. Although if the first two tend to be really big problems, you would imagine that the Fed wouldn’t—and shouldn’t—go ahead with a rate increase anytime soon.

“People are spooked about October,” says Stovall. “But the numbers say you should be worried about September.” And this year there is already worry in the air.