Sell in May and Go Away
TimingHold SPY from the first trading day of November through the last trading day of April. Sit in cash (0% return) from May through October. Benchmark is SPY buy and hold.
See this in the terminal — live earnings bands, fair value and rates.
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"Sell in May and go away." Go away and you'd have left most of the gains on the table.
The rule. Hold SPY from the first trading day of November through the last trading day of April. Sit in cash (0% return) from May through October. Benchmark is SPY buy and hold.
What actually happened.
- $10,000 became $28,907. The same $10,000 in Buy and hold (SPY) became $84,528. This strategy trailed the benchmark by $55,622.
- Compounded at 7.3% a year vs 15.3% for the benchmark.
- Best year: 2019 (+26%). Worst year: 2022 (-13%). This is not a smooth ride.
The catch. At its worst, this strategy fell -34% from a prior peak — shallower than the benchmark's -34%. Would you have held through that? Most people don't. That's the whole game.
The takeaway. The lesson isn't "this idea is stupid." It's that the simple, boring benchmark is harder to beat than the pitch decks admit. Before you try to be clever, respect the index.
Drawdown from prior peak
Calendar-year returns
| Line | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | 23 | 24 | 25 | 26 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Sell in May (cash May-Oct) | +1% | +14% | +19% | +5% | +0% | +8% | +12% | -8% | +26% | +4% | +16% | -13% | +25% | +10% | -5% | +6% |
| Buy and hold (SPY) | +8% | +16% | +32% | +13% | +1% | +12% | +22% | -5% | +31% | +18% | +29% | -18% | +26% | +25% | +18% | +13% |
Cash earns 0% here; a real 'cash' position would earn short-term interest, which would help this seasonal strategy in high-rate years. How we test
Rebalance: twice a year (into SPY on Nov 1, into cash on May 1) · Window: 2011-09-02 → 2026-09-02 · Last run Sep 2, 2026 · JSON