Claim check: Sell in May and go away
“Sell in May and go away: stocks do better from November to April than May to October.”
What the data says
Does not hold Not supported by the data: May to October returned +1.0% a month on average against +1.4% for the other months in S&P 500 (n = 102 months, 2010-01-04 to 2026-11-10; t = -0.7, likely noise). The direction points the claimed way, but the result cannot be told apart from chance.
No effect we can tell from chance, or the opposite effect.
Who says it
Old London stock-market adage, 'Halloween indicator' popularised by Bouman and Jacobsen (2002).
Origins are as commonly cited and were not independently verified.
How we tested it
Month-end to month-end returns for the S&P 500 (SPY). Summer months (May to October) are compared with winter months (November to April) with a difference-of-means t-test, and the sign must be the same in both halves of the history. The claim holds only if summer is lower than winter and the gap passes the significance guard.
Results
| Market | Observations | Mean | Rest | Difference | Up share | t-stat | Rank of 12 | Reading |
|---|---|---|---|---|---|---|---|---|
| S&P 500 | 102 | +1.0% | +1.4% | -0.43% | 67% | -0.7 (likely noise) | — | Right way, likely noise |
Average monthly return by calendar month (S&P 500)
Stability across the two halves of history
A saying that only works in one half of the history is not much of a rule. Each row shows the effect in the full history, the first half and the second half; green means the claimed effect was present.
| Market | Full history | First half | Second half |
|---|---|---|---|
| S&P 500 | -0.4% | -1.1% (48) | +0.2% (54) |
Context and cross-checks
Shown for context; not part of the verdict.
Other markets (context, not part of the verdict)
| Market | Observations | Mean | Rest | Difference | Up share | t-stat | Rank of 12 | Reading |
|---|---|---|---|---|---|---|---|---|
| Gold | 102 | +0.3% | +1.1% | -0.75% | 48% | -1.1 (likely noise) | — | Right way, likely noise |
| Silver | 102 | +0.4% | +1.4% | -1.00% | 51% | -0.8 (likely noise) | — | Right way, likely noise |
| Commodities | 102 | 0.0% | +0.8% | -0.73% | 51% | -1.0 (likely noise) | — | Right way, likely noise |
| Agriculture | 102 | -0.1% | +0.5% | -0.65% | 43% | -1.3 (likely noise) | — | Right way, likely noise |
| EUR/USD | 102 | -0.2% | 0.0% | -0.17% | 45% | -0.5 (likely noise) | — | Right way, likely noise |
| Bitcoin | 73 | +5.6% | +5.7% | -0.16% | 55% | 0.0 (likely noise) | — | Right way, likely noise |
| Ether | 54 | +2.5% | +7.4% | -4.86% | 44% | -0.9 (likely noise) | — | Right way, likely noise |
Average monthly return by calendar month (Gold)
The site's own strategies
| Strategy | Market | Sharpe, 5 years | Benchmark, 5 years | Sharpe, full | Benchmark, full | CAGR, full | Benchmark, full | Max DD, full | Benchmark, full | Reading |
|---|---|---|---|---|---|---|---|---|---|---|
| SEAS-01 Monthly Seasonality | SPY | 0.35 | 0.72 | 0.64 | 0.85 | +7.6% | +13.8% | -34% | -34% | No effect |
Sharpe ratio minus benchmark, full history · Benchmark = the buy-and-hold shown on the strategy pages.
The honest caveat
About 15 years of data gives only about 15 observations per market.
Descriptive statistics from historical data, before costs. Not a forecast and not investment advice.
Questions
Sell in May and go away: stocks do better from November to April than May to October.
Not supported by the data: May to October returned +1.0% a month on average against +1.4% for the other months in S&P 500 (n = 102 months, 2010-01-04 to 2026-11-10; t = -0.7, likely noise). The direction points the claimed way, but the result cannot be told apart from chance.
How was this claim tested?
Month-end to month-end returns for the S&P 500 (SPY). Summer months (May to October) are compared with winter months (November to April) with a difference-of-means t-test, and the sign must be the same in both halves of the history. The claim holds only if summer is lower than winter and the gap passes the significance guard.
Related strategies on Quant Arena
Markets used
S&P 500 · Gold · Silver · Commodities · Agriculture · EUR/USD · Bitcoin · Ether