07.05.2021

« Sell in May and Go away » ? Statistics say : « Not really »

Everybody has heard at least once the financial adage « Sell in May and go away », suggesting that stock markets have historically corrected in May.

As we start the month of May with the S&P 500 not too far from its all-time high and after more than 6 months of rally, the adage is on everyone’s lips. So we decided to check if May represents any kind of seasonality for a market correction.

Of course, the answer depends of the windows and the number of observations you are looking at. If we consider the S&P 500 since 2010, May has on average returned -0.7% including the awful -8.2% in 2010 (the 25th worst monthly performance of the S&P since 1942). But why look specifically at an 11 years window?  Especially when the last 10 year average S&P 500 returns in May (May 2010 is not part of the observation) stands at +0.04%.

Because, with statistics, we can prove anything depending on where you are sitting…

More concretely, we cannot find any seasonality for the month of May.

Looking at the average S&P 500 return in May since 1942 and on several fixed windows, the only conclusion we can draw is that market is going up in the long-run, even in May.

Statistics analysis since 1942 shows us that in terms of frequency, a positive return in May is even more likely to occur. However, there are drawdowns in financial market history and we tried to analyze seasonality and amplitude if any.

From 1942 to April 2021, the S&P 500 fell on a monthly basis 376 times over 953 months of observations. The distribution and the cumulative returns per month come as follows:

Statistics and distribution tend to confirm that the « Sell in May and Go away » is not truly confirmed over time. However, Investors could find something about :

« Sell in September and …».

More articles

17.06.2021

Welcome to Mr. Antoine Olivi !

Cité Gestion is pleased to announce the arrival of Mr. Antoine Olivi in its Geneva offices.

Read More
16.06.2021

Newsletter : Transitory Inflation ? | June 2021

Cité Gestion is pleased to announce the launch of its June 2021 Newsletter.

  1. Macro, Fixed Income and Rates
  2. Equity 
  3. Forex and Commodities
Read the Newsletter
11.06.2021

Cité Gestion & Ledger

Cité Gestion has participated in Ledger's Series C funding round and is proud to be part of the hardware producer's success story.

Read the press release
08.06.2021

Cité Gestion and Les Parcours Gourmands

Cité Gestion is proud to open a new season of golf tournaments in partnership with Les Parcours Gourmands from the "Association Suisse des Golfeurs Indépendants" (ASGI), which will start on June 10th. Twelve events are scheduled combining world-class golf and gastronomy : a unique experience of sharing and discoveries. (Document in French and in German)

Read More
03.06.2021

Cité Gestion US Infrastructure New Cycle Certificate

The blue wave becomes a reality. Cité Gestion believes that Infrastructure underpins a longer US cycle and launches its new certificate US Infrastructure New Cycle. 

Read more
17.05.2021

Newsletter : Brace for Mean Reversion | Mai 2021

Cité Gestion is pleased to announce the launch of its May 2021 Newsletter.

  1. Macro, Fixed Income and Rates
  2. Equity 
  3. Forex and Commodities
read the newsletter
Back