The Rationale Behind "Sell in May and Go Away"

The seasonal 6-month period from November-April has gained +520.9% for the S&P 500 since 1990, 8 times the +65.1% return achieved during the 6 months from May-October.

Both numbers are aggregate total return performance results calculated for their respective 6-month periods beginning on 5/01/90 and continuing through 10/31/14. 

source: BTN Research