The stats May to Oct below are listed below. Again, not scientific – maybe superstitious, but just another indicator to examine. The same pattern exists in overseas markets as shown in second link. However, in presidential election years it is different, it has been more likely positive in June to Oct. Intuitively it makes sense, the White House will do all it can to keep their party in power, not sitting idle while market crashes. Of course market can still go down, but not as much if there is big effort to stop crash.
Look at the VIX, now at 23 was flashing caution on May 15, 2008 at reading of 16 and panic selling on Mar 17, 2008 at 32. VIX has been good indicator this this year, sell under 20, buy over 30. But guaranteed at 40, strong buy, very rare occurrence.
While the S&P 500 advanced an average of 7% during the November-April period over that span (without dividends reinvested), it posted an average gain of only 1.5% from May through October. What's more, the November-April period outperformed May-October 69% of the time." http://www.businessweek.com/investor/content/may2005/pi2005054_2535_pi039.htm "
Some of the reasons behind this may relate to patterns in bonuses, taxes and savings vehicles. For those who receive part of their compensation as bonuses, most are paid anywhere from December to March. This is a result of companies basing bonuses on the calendar-year results, or in some cases in the form of holiday bonuses. This creates a large cash flow for these individuals, and since more of bonus money is likely to be saved than salary payments, a large portion of this is saved, with a sizable amount invested in stocks or stock funds." http://www.bizjournals.com/boston/stories/2002/05/27/newscolumn7.html