Sell in May, Don't Go Completely Away...

As the saying "Sell in May, Go Away" implies, the S&P 500 has historically performed dramatically better in the November-April time frame. EconomPicData noticed this trend has continued dramatically in 2008, but questions the desire for many to hold cash six months out of the year.

So, I decided to test out a few alternatives for the May-October period and one stood out from the rest since the benchmarks 1976 inception (not sure if that is or isn't a hint), now referred by my inner circle as the "Secret Sauce".



























So, any guesses on what this "Secret Sauce" is?

UPDATE: so far I've gotten Emerging Market Equity, oil, and real estate among the various guesses. Lets take a look at a variety of them (the different starting points are due to index inception).



























As can be seen, none have outperformed the S&P except oil (and that just barely). Maybe my "Secret Sauce" is better than I thought?

Hints:

• What does well when equities tank (i.e. becomes even more uncorrelated)?
• Think long term (not just this business cycle)
• If equities typically underperform in the May-October time frame, where would an investment manager likely put it?

UPDATE(2): Secret Sauce Revealed