Does “Sell in May and Go Away” Actually Work?

“Sell in May and go away” is one of the most repeated seasonal sayings in markets. The idea: equities are weaker from May to October, so you’re better off in cash until November. It’s catchy — but is it true?

The data is more nuanced than the rhyme

Blanket rules like this hide the detail. When you actually measure specific windows, the summer isn’t uniformly weak. The S&P 500 (via SPY) has had a notably strong window right in the middle of the supposed dead zone — late June into mid-July has averaged around +3.0–3.2% and been positive in 15 of the last 15 years.

So the “sell in May” window contains one of the year’s most reliable bullish stretches. The takeaway isn’t that the adage is useless — it’s that seasonality is specific, not a blanket rule. Real edges live in precise date ranges for precise assets, not in a six-month rhyme.

The better approach

• Look at specific windows, not whole seasons.
• Check the win rate and sample size, not just the average.
• Treat it as timing context alongside your own analysis.

Past seasonal performance does not guarantee future results. Win rates and average returns are historical base rates, not predictions. This is for informational purposes only and is not financial advice.