Sell in May / S&P 500
S&P 500
Does Sell in May work on the S&P 500?
The S&P 500 is one of the most useful benchmarks for testing the rule because it offers a broad U.S. equity sample and a long market history.
How to evaluate the S&P 500 version
Compare May–October and November–April using the same lookback, then inspect each historical year. Averages, medians and hit rates should point in the same general direction before treating the effect as meaningful.
Use multiple lookbacks
A seasonal tendency that appears over 25 years but disappears over the last 10 may be losing strength or may depend on older market regimes.
Inspect the bad years
A strong long-run average can coexist with painful individual periods. The historical path matters as much as the summary statistic.
| Test | Question |
|---|---|
| May–Oct | How strong or weak was the so-called summer half? |
| Nov–Apr | Did the winter half outperform consistently? |
| September only | How much of the weakness came from one historically soft month? |
S&P 500 is preselected
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