The month of May has arrived. We examine the old market adage of “Sell in May and go away” across the three different regions in the USA, Europe and Asia. Since 1999, the average performance in May across the three regions is -0.8%, with 58% of the years registering negative performance. The best performance is 2009 with a performance of 9.5%. On the other hand, the following year in 2010 registered the worst performance of -10.2%. 