Dow at record: Sell in May and go away?

May is best known as the month when flowers start to bloom, but on Wall Street it has a connotation of gloom as the month that kicks off what historically has been the stock market's worst six-month stretch.

There is an old Wall Street adage that gets plenty of press this time of year: "Sell in May and go away."

It has a catchy ring to it. It gets investors wondering about the safety of their stock portfolios. And it is backed up by reams of historical statistics that tell a simple story: Market returns May though October tend to be less robust than the November-April span.

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Since 1928, the 1.9% average gain for the Standard & Poor's 500-stock index in the six-month span starting in May is the weakest of them all, and feeble compared with the 5.1% return in the No. 1-ranked six-month stretch ending in April, data from Bank of America Merrill Lynch show.

(It doesn't always pan out. Last year, the S&P 500 rallied 10% in the typically weak six-month period.)

BofA's statistics highlight the fact that the May-October time frame poses the highest risk of a market decline of 20% or more than any other six-month time period.

S&P Capital IQ data show that a broad basket of bonds has handily outperformed the S&P 500 by more than 4 percentage points, on average, in the lousy May-through-October period since 1977.

And eight of the 10 worst months in market history, money management firm Gerstein Fisher notes, occurred in either May, June, July, August, September or October. The major cause of such declines, the firm says, was war or a major financial crisis.

In essence, the statistically driven angst creates a seasonally manufactured decision for investors each year: stay put or flee the market in hopes of getting in at lower prices in November?

This year the market seems especially vulnerable. Russia is replaying the Cold War card in ! Ukraine. Some tech stocks are reliving 2000-style pullbacks. The midterm election year often sees a market low in the second or third quarter.

The S&P 500 has also gone 31 months without an official 10% correction, compared with a correction every 18 months on average.

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As a result, there's even more concern that the market could run into trouble beginning in May, says Sam Stovall, managing director of U.S. equity strategy at S&P Capital IQ.

So what's an investor to do?

Drew Nordlicht, managing director and partner at HighTower San Diego, says he's not yanking his clients' money out of the market. But he is dialing back risk by moving into less-pricey corners of the market.

"We are not reducing equity exposure," says Nordlicht. "We are taking money out of stocks with outsized returns and (moving) into better-valued parts of the market."

Stovall's analytical work points him to two stock sectors that have done well in the past in the weak six-month period: consumer staples and health care. These sectors posted average gains of 4.6% and 4.7%, respectively, vs. a gain of just 1.3% for the entire S&P 500, in the May-through-October period.