4 assets to sell in May according to the experts

There's an old market saying "Sell in May and go away." Traders have been citing this cliché for years, and for good reason.

The S&P 500 dramatically underperforms during the months of May through Octoberwhen looking at data going back to World War IIaccording to Sam Stovall, chief equity strategist at S&P/Capital IQ. That's the story for stocks, but in today's market, there are other assets to avoid in the coming months as well.

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Here's a look at four asset classes investors across the market are selling right now:

1. Sell utilities stocks. That's what Jeremy Hill at Old Blackheath is advising. He's using the strong run in the utilities sector to get out of the sector. One of his trades is to short the Utilities Select Sector Spyder, ticker XLU. That's one of the main ETFs that tracks the sector.

"I believe that utilities are overvalued as a bond proxy and safety trade," Hill said.

2. Sell 10-Year Treasury notes. That's what Lord Abbett Fixed Income Strategist Zane Brown recommends. He thinks that there has been a lot of worry about the deepening crisis in Ukraine, as well as the prospects for stronger economic growth in the U.S. Brown thinks that eventually, the Ukraine and Russia standoff will subside, and the U.S. economy will show more signs of improvement. In other words, bet on a drop in Treasury note prices and a corresponding rise in interest rates.

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3. Sell the Russian ruble versus the U.S. dollar. That's what Wells Fargo Securities' Head of Currency Strategy Nick Bennenbroek said. He's in the camp that believes Ukraine and Russia will be a problem at least for the foreseeable future. He thinks lowered economic forecasts in Russia and net private capital outflows are going to have a negative effect on Russia's currency.

"We see the USD/RUB at 36.75 in 12 months, with the risks tilted to a faster decline in the ruble if the Ukrainian crisis continues," Bennenbroek said. That implies that the dollar will strengthen against the ruble over the next year.

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4. Sell iron ore and copper. That's what Jeffrey Sica of Sica Wealth Management is telling his clients. Sica believes the slowing growth profile of the Chinese economy means that stockpiles and inventories of those commodities will build up and keep prices relatively depressed.

Of course, not all investors are selling, much less leaving the market. Portfolio Asset Management's Lee Munson said he sees May as an opportune time to invest.

"If you're a long-term investor, remember that statistically, you're still likely to make money," Munson said. "You might make less money, but you are still making money."

"Sell in May and go away" may only apply to stock market investors, but given the current news flow and geopolitical risks, some are selling other assets as well.

—By CNBC's Dominic Chu and Elizabeth Schulze.