#INVESTOR BEHAVIOR
"Sell in May and go away" rests on a real fact: from May to October the US market returns half what it returns from November to April. Applying the rule for a hundred years still divides the final capital by 4.6.
Published on September 2, 2026
The series is the US market return from Kenneth R. French's data library, 1,200 months from July 1926 to June 2026. The seasonal gap is there: 1.241% a month on average from November to April, against 0.690% from May to October. But one dollar held throughout becomes $19,225, or 10.37% a year, while the "sell in May" rule, with cash placed at the risk-free rate, produces only $4,156, or 8.69% a year. In an unremunerated account, $810. The gap holds over recent windows too: 10.40% against 8.20% a year since 1996, 11.41% against 7.48% since 2006.
Should you leave the market from May to October?
The seasonality is measurable, but acting on it is expensive: 8.69% a year against 10.37% for staying invested, over a century.
In other words: the gap between the two seasons is real; it is smaller than what you give up by standing outside.
Four caveats, because they matter
- From May to October the market still rises: 72% of the 99 complete half-years are positive, averaging +3.96%. Leaving means forgoing a gain, not dodging a loss.
- The calculation assumes cash earns the risk-free rate. With no interest, the result falls to $810, or 6.93% a year.
- It ignores costs and taxes: two round trips a year in a taxable account cut further into the result.
- US data, in dollars, over exactly one hundred years. A regularity found after the fact in a single series is not a forecast.
Why it still matters: a genuine statistical regularity can still be unusable: here the cost of time spent out of the market exceeds the gap being chased.
For you
- When you are shown the gap between two seasons, are you also shown what the strategy exploiting it actually returns?
- How many months would you spend out of the market to avoid a season that rises three years in four?
Source: reproducible Ze Finance calculation on the monthly US market series from Kenneth R. French's data library (Tuck School of Business, Dartmouth) — market return and risk-free rate, July 1926 to June 2026, 1,200 months.
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