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Sell in May and Go Away? The Numbers Don't Lie

Alex Dumortier, CFA
May 1, 2013

The old market adage exhorting investors to "sell in May and go away; come back on St. Leger's day" appeared to find favor today, as U.S. stocks lost ground on this first day of the month. The S&P 500 (INDEX: ^GSPC) and the narrower, price-weighted Dow Jones Industrial Average (INDEX: ^DJI) both fell 0.9%.

Consistent with those losses, the VIX Index (INDEX: ^VIX), Wall Street's fear gauge, rose 7% to close at 14.49. (The VIX is calculated from S&P 500 option prices and reflects investor expectations for stock market volatility over the coming 30 days.)

An all-season portfolio
A year ago, I examined the long-term record of a "sell in May" strategy and compared the returns to those of the converse strategy (i.e., buy in May) and to "buy-and-hold." These are how the results shook out (I've updated the data through yesterday):


S&P 500: Annualized Return (including dividends)

April 30, 1926 to April 30, 2013