Following my search for predictable stockmarket patterns ("Real Cycles"), Joseph Dancy analyses the phenomenon of winter season investment growth. It seems that "sell in May and go away" is still good advice. Dancy quotes Mark Hulbert:
[The research] implies that simply going to cash between May Day and Halloween will have only minor impact on long-term returns while dramatically reducing risk -- a winning combination that would show up in a much improved risk-adjusted performance.
Until everybody does it, of course. But what are the chances of that happening?