FXstreet

There is a saying about the stock market to ‘Sell in May and Go Away’ which I believe was first documented in a 2002 academic paper by Sven Bouman and Ben Jacobson. They analyzed 37 countries going back to the 17^th century and found that this occurred in 36 of them. Besides potentially using this for investing purposes it would seem to refute the efficient market thesis if it is accurate.

According to the Stock Trader’s Almanac since 1950 the Dow Jones Industrial Average has returned 0.3% on average during the May to October timeframe vs. 7.5% during November to April.

Bob Rezaee, the manager of Newmark Risk-Managed Opportunistic Fund, took the past 50 years of S&P 500 data and graphed it. As you can see for the months of May to October there were only two months with returns of 1.0% or higher while the other six months of the year (November to April) had 5 of the 6 with 1.0% or higher gains.

Keep in mind that this isn’t saying that returns are negative in the May to October timeframe, they are just lower than November to April.

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