The saying "Sell in May and go away" suggests that investors should sell their stock holdings in May to avoid a seasonal decline in the market, with plans to return in November. This strategy is based on the historical observation that stock market returns from May through October are often lower compared to other months. This could be due to lower trading volumes as many investors take summer vacations, leading to less liquidity and potentially more volatility. 

The strategy also considers factors like the financial calendar, which can influence institutional investors' behavior, and sector rotation, where different industries perform better at different times of the year. However, this adage has its criticisms, including inconsistencies in year-over-year data, the potential costs of missing out on gains from unexpected market rallies, and the transaction costs associated with frequent buying and selling. 

In modern financial markets, which are influenced heavily by rapid information flow and global events, seasonal trends may be less predictive than in the past. Therefore, the decision to follow this strategy should be based on a thorough analysis of current market conditions, economic indicators, and personal investment goals, rather than adherence to a historical adage.