The phrase ‘sell in May and go away, don’t come back ‘til St Ledger day’ is oft-coined but Cazenove technical strategist Robin Griffiths says that by doing this, investors can not only match the long-term performance record of Warren Buffet, but also double their risk-adjusted returns.

His analysis of the major markets shows that going back 45 years, returns between the start of June and the end of October are virtually always markedly weaker.

Looking at the FTSE Allshare, the average return in the six best months is 9.61%, while for the worst half of the year it is a distinctly unattractive -1.11%. This breaks down as a monthly average of 2.75% in the good ‘uns and -0.32% in the bad ‘uns.

The same pattern rings true for the US, Europe, Japan and indeed all countries barring New Zealand (something to do with sheep). Taking the Dow Jones Industrial Average even further back, seasonally investing over the last 100 years would have given you a 9.5% annualised return - above the 9% from the index despite being only invested for half of the year. You can see the trend below.

‘If you did that over the long-term your track record would be as good as Warren Buffet’s and the fact that you are out of the market for six months means that your risk-adjusted returns are doubled,’ Griffiths says.

He admits that it is not always readily evident but in a raging bull market, the market will still rise albeit not as quickly in the bad months. Conversely, during a bad bear market, it will still fall in the good months but similarly, by not as much as it would in the low season.

‘The dataset shows that this is a statistical reality,’ he says.

It may be rather difficult for managers to justify their fees if they park their money in cash it has to be said.