Have you heard enough about “Sell in May and Go Away” yet? This saying has received a tremendous amount of media play in the past few weeks because, after all, fear-driven headlines get the most attention.

However, a look at the actual data shows that the intense focus on this seasonal trend might be yet another case of investors placing too much weight on the most recent events.

An analysis of the past 40 years of performance for the S&P 500 Index during the May 1-Sept. 30 interval reveals some noteworthy facts:

• During this 40-year period, there only have been nine occasions in which the S&P has hit its high for the five-month period in May. Seven of these have occurred since 2001.
• Stocks are as likely to rise through most or all of the period as they are to fall: While the S&P 500 hit its high-water market in May nine times, it registered its peak in September on 13 different occasions. It also hit its high three times in June, eight times in July and seven times in August. The lesson is that more often than not, an investor who took the saying literally and sold on May 1 almost invariably gave up some upside.
• While media coverage alone could lead an investor to believe that market weakness through the summer months is a foregone conclusion, the facts don’t support the thesis. In the past 40 years, the S&P finished in positive territory 26 times.

So why does “Sell in May” earn so much attention? Other than that it provides investors with a handy shortcut around more rigorous analysis, the saying likely strikes a chord with investors because the summer months have brought some very memorable meltdowns.

But in almost every case, it was the timing of broader crises — the bursting of the tech bubble in 2001 (-16.69%) and 2002 (-24.30%), the mortgage meltdown in 2008 (-15.82%), and the two iterations of the European debt crisis in 2010 (-3.83%) and 2011 (-16.88%) — that caused the sell-off during the months in question. Also, the 1974 bear market brought a massive downturn of 29.64% from May through September.

When these substantial losses are taken out of the mix, the average price-only return of the S&P 500 in the May-September period actually is a respectable 3.55% in the past 40 years. This shows that a handful of outliers are dragging down the average — and distorting the real story.

The takeaway: While May has marked the near-term high for the S&P 500 more often than not during the past 11 years, a look further back in time shows that investors might be placing too much emphasis on recent history — a time that has brought more than its share of crises. The tendency to put a greater weight on more recent events is actually known as the “recency bias,” a cognitive distortion whose impact on investing has been discussed in both the New York Times and Esquire.

Keep this in mind in the weeks ahead, during which we’re likely to see the media filter the market’s every move through the “Sell in May” prism.