Exchange traded funds indexed to the S&P 500 are down about 5% so far in September during the first three trading sessions as the month appears to be living up to its reputation as the cruelest for markets.

“While most easy-to-find seasonal patterns fall apart when subjected to a bit of scrutiny, this seasonal pattern does appear to be both statistically significant and fundamentally justified,” says Russ Koesterich, iShares global chief investment strategist at BlackRock.

Weakness in September has been blamed on tax-loss selling by investors and portfolio manager “window dressing” before the end of the fiscal year for mutual funds. Other more exotic theories are based on Seasonal Affective Disorder in which “the sudden onset of fall causes mass risk aversion and investors dump their risky assets,” Koesterich wrote in the iShares blog.

“In the United States, seasonal weakness in September has been evident for more than a century. Using data going back to 1896, the market’s average return in September is -1.12%, net of dividends,” he added. “September’s average is significantly lower than the average monthly return of around 0.60%.”