Debunking "Sell In May"

Among stock traders, there's an old English saying that invariably gets trotted out every year at this time: "Sell in May and go away, and come on back on St. Leger's Day." The adage has staying power across numerous stock markets, where major indices like the Dow Jones Industrial Average (Index: DJI) have track records of delivering more lackluster returns for stocks held between the months of May and October than they do during the the other six months of the year.