NEW YORK ( TheStreet) -- So April turned out to be at least uncooperative, if not cruel, and now May is upon us. Should investors head for the exits or skip summer vacation this year? Sam Stovall, chief equity strategist at S&P Capital IQ, tackled this question on Monday, noting the performance data does seem to back up the "sell in May" part of the old trading adage. "Over the past 67 years, the S&P 500's performance in May has been a bit lackluster, recording an average advance of only 0.31% vs. the average gain of 0.67% for all months, thereby ranking it eighth," Stovall wrote. "The frequency of a monthly advance has also been slightly sub-par at 57% versus the average 59%." The track record over the past two years is what's freshest in investor minds, though, and those results are even worse, especially for 2011, when the S&P 500 peaked above 1370 during the fifth month then finished the year at 1257.60, down 8.2% from the high and ultimately flat for the year. That's created something of a "fool me once, shame on you, fool me three times, shame on me" mentality, Stovall quipped while still acknowledging the historical argument is fairly compelling. "Since 1945, the S&P posted its strongest six-month average return from November 1 through April 30, recording an advance of 6.8% (excluding dividends), versus an average gain of 4.1% for all 12 rolling six-month periods," he said. The S&P 500 has posted gains 78% of the time for all November-April periods in that time vs. 67% for all other six-month periods. Conversely, for the May-October period, the index has gained just 1.2%, the worst of all rolling six-month periods, according to S&P Capital IQ.