Most investors have heard the adage "Sell in May and go away," which warns of the stock market's sleepy performance during the summer months. But we've already shown how dangerous following that advice can be to your investment returns.

Nevertheless, the folks who like taking such short cuts have recently caught on to another market anomaly: September is historically the worst month for stocks. If we look back at returns for the S&P 500 from 1950-2013, the month-by-month breakdown looks like this:

Indeed, not only were September's returns the lowest, but it was the only month where the market had more negative years than positive ones. Some might say that's proof that selling your stocks in late August and rebuying in October is a good idea.

There are lots of reasons this is a bad idea.

The past does not predict the future
You hear this line ad nauseam in the investment world -- and that's because it's true. Just because the stock market has gone down in September more than it has gone up doesn't mean that will continue to be the case. More importantly, it doesn't mean that will be the case this September.

In fact, over the last eight years, September is averaging a 0.86% return. And that includes the 9.6% loss of September 2008, when the Great Recession was beginning, as well as the 7.2% loss of September 2011, when Standard and Poor's downgraded the debt rating for the U.S.

That leaves us with a simple question: Why does the market go down more in September than in any other month? Here's the truest answer you'll ever find: Absolutely no one knows. We could come up with explanations until we're blue in the face, but there's simply no way to know for sure. Anyone who tells you differently is likely trying to sell you something.

The loss of dividends
But even if we accept that the market will go down in September (which we shouldn't) and we're convinced there's a solid reason for it (which there isn't), we still shouldn't give in to the urge to sell in August and buy back in October.

That's because some of the market's biggest dividend payers go ex-dividend in September. All four of the companies listed below are members of the S&P 500 and are in the top 10% of the index's dividend yielders.

Company

Dividend Yield

Ex-Dividend Date

Public Service Enterprise (NYSE:PEG)

4.2%

Sept. 3

Reynolds American (NYSE:RAI)

4.8%

Sept. 8

Frontier Communications (NASDAQ:FTR)

6.1%

Sept. 10

DTE Energy (NYSE:DTE)

3.8%

Sept.11

Source: Yahoo! Finance.

By selling shares of these stocks before September, you would be forfeiting your ability to collect these outsize dividends.

Of far greater importance for everyday investors, three of the most popular market ETFs -- SDPR S&P 500 (NYSEMKT:SPY), Vanguard S&P 500 ETF (NYSEMKT:VOO), and iShares Core S&P 500 (NYSEMKT:IVV) -- which have a combined $420 billion in net assets -- all go ex-dividend in September.

As if that weren't enough, investors actually benefit when dividends are paid out as stocks are swooning. If you've set up automatic dividend reinvestment plans, or DRIPs, -- which you absolutely should -- you get to purchase more shares at lower prices. Sell in September, and you're missing out on the opportunity to increase your long-term gains.

The final word on "Sell in September"
If the two points above haven't convinced you of the folly in trying to time the market, consider this question: Do you live to invest or invest to live? Although investing can be a fun pastime, I hope you see investing as a way to provide a safe and reliable asset base for you and your family. This helps you focus on the really important things in life.

If you try to time the market, jumping in and out when the tea leaves tell you to, you'll drive yourself crazy. It's far better to find solid companies paying regular dividends, buy them, and hold on for the long haul.

Brian Stoffel has no position in any stocks mentioned. The Motley Fool has no position in any of the stocks mentioned. Try any of our Foolish newsletter services free for 30 days. We Fools may not all hold the same opinions, but we all believe that considering a diverse range of insights makes us better investors. The Motley Fool has a disclosure policy.