Sell in May (SELL-MAY)
Developed by Classic · Seasonality · Low-Med Risk
Sell in May is the systematic implementation of the oldest and most widely recognized calendar anomaly in equity markets. The adage "Sell in May and go away" refers to the empirically documented tendency for equity markets to deliver substantially higher returns during the November-through-April period compared to the May-through-October period. This seasonal pattern has been identified across multiple decades, multiple countries, and multiple centuries of data — making it one of the most robust anomalies in the entire financial literature.
The academic investigation of the Sell in May effect dates to a 2002 study by Bouman and Jacobsen published in the American Economic Review, which documented the pattern across thirty-seven countries over periods exceeding a century. Subsequent research has confirmed the pattern's persistence and explored its potential causes, including seasonal variation in investor risk appetite, vacation-related liquidity reduction, agricultural and fiscal calendar effects, and the clustering of macroeconomic uncertainty during summer months.
The strategy's implementation is maximally simple: hold US equities (SPY) from November through April, then shift entirely to intermediate bonds (IEF) from May through October. There are no momentum signals, no trend filters, no canary assets, and no optimization. The allocation is determined entirely by the calendar month, making it the most mechanically straightforward tactical strategy on the platform.
Despite its simplicity — or perhaps because of it — the seasonal strategy has delivered competitive risk-adjusted returns over long backtesting periods. The favorable-season returns (November-April) capture the majority of equity market gains, while the unfavorable-season bond allocation avoids the periods that historically contain the majority of large drawdowns. The 2008 financial crisis, the 2011 European debt crisis, and the 2015 China devaluation scare all occurred primarily during the May-October window, validating the seasonal pattern's protective value during the most damaging market events of the past two decades.
How It Works
The Seasonal Calendar
The strategy follows a fixed annual cycle with two six-month periods. During the favorable season — November through April — the portfolio holds 100% US equities (SPY). During the unfavorable season — May through October — the portfolio shifts entirely to intermediate bonds (IEF). The transitions occur at the beginning of May and the beginning of November each year, producing exactly two trades per year.
The November start of the favorable season aligns with several recurring catalysts: the conclusion of the historically volatile September-October period, the beginning of the holiday shopping season that boosts consumer spending data, and the clustering of corporate earnings reports that provide forward guidance for the coming year. The May start of the unfavorable season corresponds to the beginning of the lower-liquidity summer period, the traditional vacation schedule that reduces institutional participation, and the historical clustering of geopolitical tensions and policy uncertainty during the Northern Hemisphere summer.
Risk Profile and Drawdown Characteristics
By holding equities only during the historically stronger six months of the year, the strategy avoids exposure to the period that contains the majority of severe market drawdowns. The worst monthly returns in equity market history — October 1987, September 2008, October 2008, March 2020 — all fall within or at the boundary of the unfavorable season. The bond allocation during these months provides both capital preservation and positive returns during flight-to-quality events.
The trade-off is visible during years when equity markets rally strongly during the summer months. The 2020 recovery from the COVID crash, for example, produced exceptional equity returns from May through October — gains that the seasonal strategy missed entirely while holding bonds. These missed opportunities are the cost of the strategy's protective positioning and represent the insurance premium paid for avoiding the majority of large drawdowns.
Academic Evidence and Persistence
The Sell in May effect has been documented across an unusually wide range of markets, time periods, and methodological approaches — providing stronger evidence of robustness than most calendar anomalies. The pattern persists across developed and emerging markets, across large and small capitalization stocks, and across different sub-periods of the data. Its persistence despite widespread awareness and academic publication suggests that the underlying causes are structural rather than behavioral — related to the seasonal rhythms of economic activity rather than to investor psychology that might be arbitraged away.
The strategy's value as a standalone approach versus a component of broader portfolio systems is debated among practitioners. As a standalone allocation, the strategy sacrifices roughly half of each year's potential equity returns in exchange for drawdown protection. As a timing overlay applied to the equity component of a diversified portfolio, the seasonal filter can meaningfully reduce the portfolio's maximum drawdown without requiring any momentum calculation, trend analysis, or macro data interpretation.
Explore Sell in May (SELL-MAY)
See the full backtest across 18 years of market data, or run your own what-if scenarios by adjusting all research parameters.