Should you sell in May and go away?

It's probably the oldest and most well known investment adage...

Sell in May and go away, don't come back till St. Leger Day

Or in other words, sell out of the stock market in May and stay in cash over the summer, before going back in at the start of September when the St Leger Stakes horse race is run. The theory is that by doing so you avoid the more volatile summer months which historically have also tended to underperform the rest of the year.

The chart below shows that during the summer of 2015 (i.e. between 1st May 2015 and the St Leger Stakes on 12th September 2015) investors in the FTSE 100 would have lost over 11%. Based solely on last year it would seem Sell in May and go away is a sensible investment strategy.