Since then, September has lived up to its reputation as the worst month of the year for equities. The Dow subsequently fell in September for six straight years (1999-2004) before rising fractionally last year. That six-year drop matches the skein that occurred between 1977 and 1982. It's only one shy of the record of seven down Septembers in a row set from 1928 to 1934.

What's more, over the past century, the average change in the Dow during the month of September is a loss of 1.2%. This might not seem like much in and of itself -- until you see that this is 12 times larger than October's average decline.

To add insult to injury, the more recent the time period, the worse September looks. Over the past 16 years, September's average decline has been 4.7%; since 2001, the average drop swells to 6.4%!

What happens in August tends to influence September. Over the past 100 years, two-thirds of the down Septembers followed a rise in August. Guess what? Stocks rose by almost 2% last month.

Although the stock market crashes of 1929 and 1987 both occurred in October, it is September that holds the record for the biggest monthly decline. That took place in 1931, when the Dow ended up the month a whopping 31% lower than when it started.

Now before you accuse me of taking away the punch bowl just as the party is getting exciting, let me remind you that I don't make the rules -- I just play the game. And the game, my friends, calls for caution over these next two months.

Why the falloff in the fall? Your guess is as good as mine. Maybe it's the movement of the sun away from the Northern Hemisphere. More realistically, it could be nothing more mysterious than good old fashioned profit-taking, since most of the months prior to September tend to be up months for the market.

Besides these burdens, stocks have additional uncertainties to contend with this year. There's the state of the economy and the weakening housing market, Federal Reserve policy, the mid-term elections, high energy costs and geopolitics.

These annual panic attacks could also represent something of a self-fulfilling prophecy. Because of September's notoriety, traders and investors naturally get nervous as August draws to a close, preferring to square their positions and wait until November rolls around.