Sell in May and Go Away- Data Torture

Sell in May and Go Away – Data Torture

With the annual “sell in May and go away” chatter is alive and kicking , we looked at various scenarios !!

Returns for any 6 month period 

below the table with the average returns and percent times positive for any 6 month period . as can be seen the period May-Oct scores worst in terms of average returns and percent times being positive. The average S&P 500 returns from May-Oct stands at 1.15% , against 4.2% for any 6 month period. S&P 500  had gained only 62% during the period from May-Oct as against 68% of the times for any 6 month period.

S&P 500 returns for 6 months holding period since 1950

Average S&P 500 Returns for any 6 month period since 1950

lets look at the data since 1990’s

Again the period from May-Oct fares worst with average returns of mere 0.94% as against the average of 3.97% for any 6 month period.

Average S&P 500 Returns for any 6 month period since 1990						the above calculations are done , for ex: for May-Oct period, the S&P 500 Index closing value at the end of the April till the end of the October are considered.

What if the S&P 500 returns are positive from the period Nov-Apr.

Again May-Oct scores 11 the worst with returns of 2.56% vs , 4.63% returns for any 6 month period , if the prior six months period , The data is from 1950 on S&P 500 Index .

Average S&P 500 Returns for any 6 month period since 1950 , if the prior 6 months returns are positve

What if the S&P 500 closes at 12 month high.

May-Oct , 6 month period is marginally better with average returns of 4% as against 4.32% returns for any 6 month holding period , if S&P 500 Index closes at 12 month high , at the end of previous month ( for May-Oct period , the April month closing value is considered , and the below sample contains only if the month end closing value is highest of 12 month period)

Average S&P 500 Returns for next 6 months since 1951 , if S&P closes at 12 month high

What if the S&P 500 closes above 10 month moving average .

May-Oct , 6 month period scores at the bottom of the table with average returns of 2.5%  against 4.72% returns for any 6 month holding period , if S&P 500 Index closes above 10 Month moving average. ( for May-Oct period , if the April closing value is above 10 month average value of monthly closes , then the above condition triggers)

Average S&P 500 Returns for next 6 months since 1951 , if S&P closes above 10 Month Moving Average

Few articles of interest around monthly seasonality from other Financial bloggers that we follow ( Mike from The Whole Street makes this job a lot easier )

You might want to download , Pay What You Want,S&P 500 Stocks and Major ETF May Month Seasonality” Excel Working Sheet , which includes the May Month Seasonality for all the S&P 500 Stocks since 1990 and for the Major ETF’s with more than 1 mil average volume.

3 thoughts on “Sell in May and Go Away- Data Torture

  1. Pingback: Daily Quant Ideas from Paststat » Blog Archive First Trading Day of the Month Returns Month wise for SPY Since Feb 2003

  2. Pingback: Daily Quant Ideas from Paststat » Blog Archive historical 6 months or more winning streak for S&P 500 Index since 1950

  3. Pingback: The Easy Money Has Been Made | ZorTrades

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