Certainly, as summer comes to a close, investors have already suffered a tough stretch. The S&P 500 declined 3.4% month-to-date through August 27, recording its fourth month of decline and a 4.5% year-to-date shortfall.

Factors contributing to this month’s market activity, say market pros: the end of the second-quarter EPS euphoria; downward revisions to consensus projections for real US GDP growth for the remainder of 2010 and 2011, exacerbated by worse-than-expected employment and housing data; and a slumping yield on the 10-year Treasury note fanning fears of a double-dip and deflation.

But if history is any guide, strategists emphasize, we may be in for another rough ride as September now kicks off. S&P’s Sam Stovall notes that the S&P 500 has posted its worst monthly return in September whether you go back to 1990, 1970, 1945, or 1928.

Another reason to worry: The mid-term election could put additional pressure on the benchmark this month, Stovall says. Since 1930, the S&P 500 declined an average 1.7% in the September before the mid-term elections and recorded a 52% frequency of decline.

“Of course there’s no guarantee that what happened in the past will happen again, but it certainly sets an ominous precedent,” Stovall says.

So the historical pattern appears clear: September is often a lousy month for the stock market. The explanation for the pattern, however, is less obvious. James Swanson, chief investment strategist at MFS Investment Management, says that he has yet to hear a credible reason why the month of September historically has proven a cruel one for investors.

“The odds are stacked against your for sure,” says Swanson. “But I haven’t heard of any good explanation that holds up.”