Sell In May And Go Away – S&P 500

Last Updated on November 17, 2020 by Oddmund Groette

Sell in May and go away must be one of the most famous phrases in the stock market. But is it correct? This is the first time I test this. There is a lot of academic empirical evidence showing this anomaly has been in existence for many decades, both in the USA and elsewhere.

I test the following on SPY from 1993 until today:

  • Buy the open on the first day of May, sell the open first day in October, versus
  • Buy the open on the first day of October, sell the open first day in May.

My time periods are not equal. I chose to exit in October instead of November because I know the 4th quarter is the best quarter historically.

Buying the open in May and selling the open in October gives this accumulated chart:

As we can see more or less a flat return over 24 years! There are “just” 9 losing periods, but they average a loss of 10,77% vs. an average gain of 7.21% for winning periods.

Buying the open in October and selling the open in May gives this accumulated chart:

Now we are talking. The annual return of 9.04% with 57% exposure in the market (time in the market). The average winning period is 14.04% vs the average losing period of -11.16%. Just 3 losing periods: 2000, 2007 and 2008 (flat in 1993).