September tends to be Wall Street's worst month, and this year may be no different.

Based on historical returns data, all three major indexes see their worst average returns of any month in September.

The S&P 500 and Dow Jones Industrial Average have both tended to decline by 1.1% in September, Dow Jones Market Data shows. The month also has the lowest win rate for both indexes, with the S&P 500 and the Dow seeing positive returns in 44.5% and 42.6% of Septembers, respectively.

Things don't look much better for the Nasdaq Composite. Though the tech-heavy index has risen in more than half (52.7%) of the Septembers traders have seen since 1971, the average September Nasdaq move during that time is a 0.8% drop.

There isn't one clear driver of September's historic weakness, but there are a few theories. Melissa Browne, global head of investment decision research at SimCorp, says that it's a result of traders being more responsive to news as they return from summer vacations. Arnim Holzer, global macro strategist at Easterly EAB, says that with year-end in sight, fund managers and other large investors will reposition portfolios in September as they compare their performance to their benchmarks.

Ryan Detrick, chief market strategist at Carson Group, says that while typically higher trading volumes in September could be associated with poor performance, investors shouldn't overreact to the historical record. "Don't forget, the worst Septembers ever have taken place when things were already dicey or weak," Detrick says. "This year isn't that way."

Detrick, who tends to be bullish, says the stock market's strong August performance is a positive set-up for September. He points out that in the 11 times since World War II when the S&P 500 was positive in August and the year-to-date return was between 10% and 17.5%, there was only one year when September brought losses.

Browne is more cautious, framing August's strong returns as a potential drag on the following month. She says the S&P 500's 3% gain in August could be difficult to maintain in the lull between earnings seasons, particularly as interest rates remain high. Treasury yields have been rising throughout the year, with the 10-year yield increasing from 4.2% to 4.7%.

Traders will certainly have their eyes on the Federal Reserve's Sept. 16 policy announcement. Following Chairman Kevin Warsh's Jackson Hole remarks, where he discussed the continued need to bring down inflation, the odds of a rate hike jumped from 35% to 60%, per CME FedWatch.

That said, Peter Boockvar, chief investment officer of One Point BFG Wealth Partners, says he's more focused on long-term rates. "The yield curve has already priced in the cost of capital at a much higher rate than where the fed funds is," he says. "The Fed is sort of irrelevant here, because the inflation stats have sort of boxed them in."

The market will get new inflation and economic data ahead of the September Fed decision.

Sept. 1 kicks off the month with the Institute for Supply Management Manufacturing Purchasing Managers' Index, followed by the ISM Services PMI on Sept. 4. Both will provide context into the health of U.S. economy.

On the inflation front, August's consumer price index report is set to be released on Sept. 11.

The Bureau of Labor Statistics will also release the August jobs report on Sept. 4 before the opening bell, shedding light on the employment picture. The July report surprisingly showed the loss of 23,000 jobs.

What's notable is that all these catalysts will come during what Holzer describes as "historically, a less forgiving period" for equities.