Sell in May and Go Away Exposed!

Dr. Ladd Kochman, Dr. David Bray


Despite continuing success for the sell-in-May effect, returns from the January-February segment of the six-month period proved surprisingly flat. Between 1995 and 2015, March-April and November-December had mean returns of 5.11 percent and 3.33 percent, respectively, while January-February averaged -0.04 percent. Nonetheless, the annualized return for November-April was nearly six times greater than that for May-October.

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