Sell-in-May-and-Go-Away in the U.S. Equity Index Futures Markets, 1993–2019

Constantine Dzhabarov and William T. Ziemba

Chapter 10 in Handbook of Applied Investment Research, 2020, pp 173-186 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The period May 1 to the turn of the month of November (−6 trading day of October) has historically produced negligible returns. The rest of the year (late October to the end of April) has essentially all the year’s gains. We show that there is a statistically significant difference and conclude that the strategy go to cash in the weak period and go long in the strong period has about 1 ½ times the returns of buy and hold for large cap S&P 500 index and 2 times for the small cap Russell 2000 index during the period 1993–2019 in the index futures markets. Graphs and tables of returns for the entire 1993–2019 period are shown. The 2016–2019 time period had very high returns. For the S&P 500, buy and hold and sell in May had essentially identical returns. The Russell 2000 sell in May is higher than buy and hold but with only 3 years data it is not statistically significantly higher than buy and hold.

Keywords: Applied Investments; Financial Forecasting; Portfolio Theory; Investment Strategies; Fundamental and Economic Anomalies; Behaviour of Investors (search for similar items in EconPapers)
JEL-codes: G1 G11 G17 (search for similar items in EconPapers)
Date: 2020
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