Sell in May and Go Away Exposed!

Abstract

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.