One of the best-known market proverbs is “sell in May and go away.” It’s also one that seems to get beaten up on an annual basis, before May comes around, of course. This year, just like in 2011 and 2010, the saying is proving its worth to those that heeded it.

“We believe ‘sell in May and go away’ will prove incorrect this time,” Cumberland’s David Kotok wrote in April, arguing that massive central bank interventions would hold up the market. It wasn’t bad reasoning, and Kotok is a sharp guy. The folks at 24/7 Wall St. agreed, writing in April that “ this time could be different .” But it wasn’t different.

Heading into today’s session — and it’s another volatile one – the Dow was down 6.01% on the month. That snaps a seven-month winning streak, and depending upon where today’s session ends, it’ll be either the worst one-month loss since September’s 6.03%, or May 2010.

Ugly either way. Only four of the index’s components rose: Wal-Mart (up 11%), Disney (4.9%), AT&T (2.8%), and Verizon (2.6%). Those are all rather defensive names. The worst performers were J.P. Morgan (down 23%), Cisco (19%,) Caterpillar (12%), Alcoa (12%), and Bank of America (11%).

It’s a weird little proverb, when you think about it. Historically, it was tied to the planting season, so in a modern, global, computerized market you’d think it wouldn’t persist. But it does. As the Stock Trader’s Almanac notes, the worst six-months for stocks start with May (and end with October.)

It highlights something else: The stock market tends to believe what it wants to believe, and when it wants to believe it. U.S. data may have looked better in the first-quarter, and the headlines out of Europe may not have been quite as dire as they are right now. But neither the strength of the U.S. recovery or the resolution of the Europe’s travails were settled. The stock bulls just pretended they were.

Jonathan Cheng stopped by the set of the Markets Hub to discuss the May call.

http://online.wsj.com/video/what-lessons-did-...CA9F4.html