Never catch a falling knife.

Nobody ever lost money taking a profit. They are all stock market cliches generally ignored by the seasoned investor.

But one old chestnut . . .sell in May and go away . . .could actually be sound advice. At first glance the old adage looks like nonsense, more suited to an easy-going era when gentlemen stockbrokers ruled the markets like some sort of private club.

In a world of round-theclock trading, short-sellers and speculators prowling for arbitrage opportunities, how could anybody expect to profit by selling up in May, taking the summer off and returning to the market after all the horses have come home in the St Leger race at the Curragh in September?

Yet there is plenty of evidence to suggest this strategy works well in practice, with investors making most of their money in the winter months before the markets enter the doldrums over the summer.

The trend has been well studied on US stock markets. Since the end of the second world war, the benchmark Standard & Poor's index of the top 500 blue chips averaged 7% growth between November and April. But in the summer months from May to October, growth slumped to just 1.5%.

Even the sceptics admit exploiting this when it suits them, pointing to the S&P's twin-speed performance to convince investors that late summer is a good time to part with their cash.

It is not only Americans who should sell in May.

Shane Whelan of the school of mathematical sciences at UCD, has studied the phenomenon in Ireland, looking at the performance of the Iseq index from 1934 to 1999. He found that returns averaged 7% between November and April but only a paltry 0.1% from May to October.

And the trend is getting more pronounced. Between 1970 and 1999, the Iseq has gained 12% on average during the winter months but actually lost ground from May to October.

Whelan believes nervous investors may have little to lose by going to cash in the summer. "The 'sell in May' rule is especially suited to the risk-averse investor, as its claim is to remove unrewarding risk, " he says.

"If wrong, the downside is an opportunity cost . . . the reward is halved as well as the risks."

Several reasons are given for the markets' summertime blues, usually connected to the sea of empty desks found in many dealing rooms during the holiday season. This in turn makes clients reluctant to invest so market torpor tends to become infectious.

Despite the evidence, many investment experts are unconvinced about the wisdom of selling in May.

"I'm very sceptical about these types of exercises and, if I had money to invest, I wouldn't hold off putting it into the markets, " says Robbie Kelleher, head of research at Davy Stockbrokers. "I'm not sure that you can easily project these trends into the future."

He warned that investors have plenty to lose by sitting on the fence, such as the bounce that normally occurs in the share price of Anglo Irish Bank immediately before and after the release of its fullyear results in early November. He also believes Ryanair could fly high over the summer as investors appreciate its ability to weather the oil crisis better than its higher-cost rivals.

In any event, Kelleher says investors who obeyed the sell-in-May rule in recent years would have regretted their decision.

The Iseq rose 16% between May and October last year, by 9% during 2004 and by 8% the summer before that.

So people who stayed out of the market would have lost a big chunk of the potential returns.

Eugene Kiernan, head of multi-manager funds at AIB Investment Managers, believes investors should be careful in how they handle statistics. The numbercrunchers need lots of data on their side to give any validity to the sell-in-May rule. But long-term averages can mask a lot of short-term swings in the opposite direction.

"Long-term averages will never determine what you should be doing in the here and now, " Kiernan says. "It is possible that small differences get compounded when you're looking at data over a long period of time so that, yearon-year, small percentage differences can start looking statistically significant."

Nevertheless, he accepts that there are commonsense reasons for a summertime lull. "You'd normally expect the summer to be quiet and activity does tend to fall off, " says Kiernan. "But it would be a risky proposition to use this as your investment strategy."