A fresh bout of volatility could be here for stocks, if history is any indication.

CNBC analysis using Kensho found that the has traded lower 70 percent of the time during the last two weeks of September since 1980. In that time, the index's average return has been negative 1.3 percent, the analysis found.

"The summer doldrums are coming to an end," said Ryan Detrick, senior market strategist at LPL Financial, in a phone interview with CNBC. "There's also a lot of book clearing ahead of the fourth quarter. The fourth quarter is the strongest one on average" for the S&P 500.

The S&P 500 is up 1.4 percent this month and currently sits at a record high. But there are reasons why September could still live up to its dreadful reputation in the stock market.

First, the Federal Reserve will likely start the process of unwinding its $4.5 trillion balance sheet after a two-day meeting this week. The central bank accrued most of its massive portfolio during the financial crisis.

This will be the first time a central bank attempts an unwinding of this magnitude. In the past, smaller balance-sheet reductions have sparked recessions.

"This tightening cycle is about to ramp up with liquidity being drawn each and every month and by another higher increment after 3-month intervals until at some point $50 billion per month of liquidity will suddenly disappear," said Peter Boockvar, chief market analyst at The Lindsey Group, in a note.

Boockvar also said he "will scream from some mountaintop ... that I was dead wrong" if the Fed pulls off its balance-sheet unwinding along with raising rates and the stock market keeps rising.

Another reason September could still be dangerous for investors is tension between the U.S. and North Korea.

Last week, the isolated Asian nation launched a missile that flew over Japan before landing in the sea. The launch took place after the U.N. Security Council unanimously imposed a ban on North Korea's textile exports and capped its crude oil imports.

"In an environment where markets have scarcely reacted to recent terrorist attacks, the recent string of North Korean news has captured investors' attention," said Jack Ablin, chief investment officer at BMO Private Bank.

"The increased frequency, power and pretentiousness exhibited by these tests seem to confirm what governments have long feared: North Korea is closer than ever to its goal of building a military arsenal that can viably target both U.S. troops in Asia and the U.S. homeland," Ablin said.