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Why strategists think ‘sell in May’ is ridiculous

As investors rip another page off of the calendar on Thursday, many will think twice about holding on to their stocks. That's because they will be tempted to heed the age-old market aphorism "sell in May and go away"—which, in its fullest version, instructs investors to abandon equities before May in favor of risk-free Treasury bonds, before switching back into stocks in November.

"For being something you would think that professionals would maybe take with a big grain of salt, it gets a tremendous amount of play," said ConvergEx Group's chief market strategist, Nicholas Colas. "We've talked about it on our morning call for the last five days, because our accounts all talk about it."

But Colas says it's not exactly an investable thesis.

"You can't just close your eyes and use a nursery rhyme to invest," Colas told CNBC.com. "You have to look at why it might be similar or different this year. We respect history, but everything about this market over the past five years has been a series of interesting and one-off anomalies—the most obvious example of which is Fed policy."

Read More 'Sell in May,' or sell anyway? Crisis-hit markets may have it wrong

As to the history he's referring to, it certainly tells a bearish tale about the period between May Day and Halloween. Over the past 36 years, the S&P 500 has risen by an average of 1.3 percent each month in the November-to-April half of the year, but only 0.3 percent per month in the worse May-to-October half of the year.

Montego666 | iStock / 360 | Getty Images

But that's not enough to convince Adam Parker, Morgan Stanley's chief U.S. equity strategist.

"A lot of people like to talk about making that one-month call in May or whatever, but if you bought securities anytime last May, you'd be well above that level today," Parker said with a chuckle on Tuesday's episode of "Futures Now." "So I don't really know why people make that statement—you can't statistically prove that it works every time. It's a bit astrological."

Incidentally, Parker happens to hold a Ph.D. in statistics.

Read More 'Sell in May': Market bull and bear duke it out

Still, for many traders, May could at least serve as a useful time to reassess their plan for the rest of the year.

"This year is setting up perfectly to sell in May," said Brian Stutland of Equity Armor Investments.

Stutland instructs that with volatility becoming so inexpensive, buying protection on one's long stock positions is only prudent. And it might put one's mind at ease ahead of a dance around the Maypole.

—By CNBC's Alex Rosenberg.

Watch "Futures Now" Tuesdays and Thursdays at 1 p.m. ET exclusively on FuturesNow.CNBC.com!

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