Since 1950, the month of September has seen an average decline in the Dow Jones Industrial Average (DJIA) of 0.8%, while the S&P 500 has averaged a 0.5% decline during September. Since the Nasdaq was first established in 1971, its composite index has fallen an average of 0.5% during September trading.
Source: https://www.investopedia.com/ask/answers/06/septworstmonth.asp