In his latest column for Canada’s Globe and Mail, Validea CEO John P. Reese says that while the “Sell in May” phenomenon seems to be a real force in the stock market, investors should be careful about trying to profit from it.

The saying, which dates back to the 18th century, is today seen as a warning to stay out of the stock market between May and Halloween. And, Reese says, there is a good deal of statistical data to support the warning. “One study, conducted by researchers Sven Bouman and Ben Jacobsen, found that from January, 1970, to August, 1998, the sell-in-May effect was present in 36 out of 37 countries studied, which included both developed and emerging markets,” Reese writes. “They even found that, in the U.K., ‘the effect has been noticeable since 1694.'” Other studies have shown that, even after Mr. Bouman’s and Mr. Jacobsen’s findings were published, the effect has continued across markets and industries, Reese adds.

But Reese says to be careful about trying to base your investment decisions on the “Sell in May” phenomenon. “Any time you are implementing a strategy that is designed to take advantage of some inefficiency in the market, you need to do so with the utmost discipline,” he writes. “Even the most successful long-term strategies have bad years – sometimes two or three or even four in a row. Before committing to a sell-in-May strategy, ask yourself how you might respond if the approach has a few down years – or how you’ll feel if, come Nov. 1, we’re in a bear market and stocks are tumbling.”

“In addition, stock pickers should realize that, while sell-in-May has worked for the broader market, individual stocks may behave quite differently,” Reese notes. “For more than a dozen years, I’ve been studying the strategies that history’s most successful investors have used to pick stocks and I can’t recall one instance in which Warren Buffett, Peter Lynch, or any of these gurus passed over a good stock because of the time of the year. If you can buy shares of a good company at an attractive price, I think you should do so, regardless of when during the year it is.”