After the recent run-up in stocks and the seemingly inevitable conquest of the 11,000 mark on the Dow sometime in the days ahead, Mark Hulbert wonders whether this might be a good year to beat the “sell in May and go away” crowd in this report at MarketWatch.

According to a comprehensive review of its historical legitimacy that appeared in the December 2002 issue of the prestigious academic journal, American Economic Review, this pattern has existed historically in 36 of 37 countries studied. In each of those countries, average stock market returns from Halloween through May Day (the so-called “winter” months) were significantly higher than equity returns from May Day through Halloween (the “summer months”).

In fact, the study found, the summer months’ returns have averaged so much less than those of the winter months that almost all of the stock market’s long-term returns have been produced during the winter months. That implies that simply going to cash between May Day and Halloween will have only minor impact on long-term returns while dramatically reducing risk — a winning combination that would show up in a much improved risk-adjusted performance.

To be sure, the results of this study are based on long-term averages, and there have been many individual years in which the overall pattern did not hold up. Several exceptions came during the recent bear market, for example, when the winter months from November 2007 through April 2008, as well as from November 2008 through April 2009, saw the stock market buck the favorable seasonality and fall sharply.

He then goes on to talk about a couple of newsletters that he follows that have implemented a strategy based on this premise with varying results. Last year would have been a particularly bad year to do this as you’d have missed gains of more than 20 percent from mid-May to mid-October.