A few months back, I performed a two part analysis of this very subject. http://www.westonbeckett.com/posts/sell-in-may.html http://www.westonbeckett.com/posts

A few months back, I performed a two part analysis of this very subject. http://www.westonbeckett.com/posts/sell-in-may.html http://www.westonbeckett.com/posts/sell-in-may.html http://www.westonbeckett.com/posts/sell-in-may-redux.html http://www.westonbeckett.com/posts/sell-in-may-redux.html In short, while returns for the May to October period may on average be less, they are positive and if anything, the returns for this period have been increasing. The one notable exception being the incredible selloff in 2008. Taxes are a more consistently important issue to consider.