“Sell in May and go away,” the old adage goes, meaning that investors should sell their stocks at the start of May and not buy back in again until September or October. But in a recent MarketWatch column, Mark Hulbert says the data shows that practicing such a strategy may be very unwise.

“My review of the historical record found that May over the last couple of decades has actually been one of the stronger months of the calendar,” Hulbert writes. “Its terrible reputation traces to decades longer ago.”

Hulbert says that from the time the Dow Jones Industrial Average was created in 1896 through the end of the 1980s, May was the second-worst month in terms of average performance, with only September being worse. But over the next two decades, May was actually the third-best month in terms of average performance.

Hulbert says there’s a lot of variability in the monthly rankings, and he questions the oft-cited premise behind “sell in May” — i.e., that most big investors and traders head off on summer vacation in May. The hypothesis was given some credence by a study performed by researchers from New Zealand and the Netherlands a decade ago, but, Hulbert notes, “It’s not clear how that applies to the month of May in the U.S. I am not aware of any significant exodus from Wall Street to the Hamptons that occurs in May.”

All in all, Hulbert says that “even if you’re inclined to follow the Sell In May and Go Away seasonal strategy, there is no reason — either statistical or theoretical — to immediately sell once the calendar flips from April to May.”