May Returns

Index	Month	Year
Dow	2.7%	-2.9%
Nasdaq	7.5%	-5.3%
S&P 500	3.0%	-1.7%
Russell 2000	6.4%	-5.4%
Wilshire 5000	3.7%	-1.5%

Sell in May

Barron's has an article citing research by London-based ADVFN. They found that investors following the advice of "Sell in May and go away, return again on Leger Day" would have gained 51% more than a strategy of buy and hold from 1984, when the FTSE 100 was established, through Leger Day of 2004, the second Saturday of September.

This strategy also worked for the Dow Jones Industrial Average (DJIA). In place of Leger Day, Americans could use the Monday following the World Series. Following this strategy, investors would have outperformed the buy and hold strategy by 26%.

The Stock Trader's Almanac has been offering this strategy for over 20 years. With an initial investment of $10,000, their data shows that Selling in May and Buying in November would net $503,000 versus a buy and hold loss of $500.

This strategy will cause you to miss out on some gains, but the advantage to the strategy is that you will miss out on more than 90% of the stock market's losses.