There's even a longer version: "Sell in  May, go away, come again St. Leger Day."

The St. Leger Stakes is a famous  horse race held in Doncaster,  

England, and is one of the oldest horse  races in the world, dating back to 1776.

St. Leger Day usually falls  in mid-September and marks  

the final leg of the English Triple  Crown of thoroughbred horse racing.

The relevance of St. Leger Day to the  stock market is primarily symbolic.

The idea is that by St. Leger Day, summer  is concluding, and many British elites and  

financial professionals who might have taken  time off or been preoccupied with the social  

season (including horse racing) would  return to the city and refocus on business.

As a result, market activity might pick up again.