Sell in May and go away? It's a little more complicated than that.
We asked our partners at Kensho to look at the last 20 years of May to October trading, as well as November to April.
From the May to October period, the S&P 500 was positive 65 percent of the time, or 13 of 20 occurrences, for an average return of 1.4 percent.
For the November to April period, the S&P 500 was up 85 percent of the time, or 17 of 20 occurrences, for an average return of 7.1 percent.
Bottom line: The S&P 500 was up more often from November to April, and with better average return, than the period from May to October.
There is something to the idea that May to October underperforms November to April.
Does that mean you should pull your money out on May 1 and put it into bonds for six months? Reasonable people can differ, but I would certainly advise against it. If you have an allocation of, say 60 percent to stocks, than you should stick with that.
And I would certainly advise against buying bonds in this environment, with the very real possibility of a drop in prices as we move closer to a Fed rate hike.
Disclosure: NBCUniversal, parent of CNBC, is a minority investor in Kensho.