Does Sell in May and Go Away Hold Up Over 20 Years?

“Sell in May and go away” is one of the oldest sayings on Wall Street. The idea is that the market does most of its work in the winter half of the year, November through April, and drifts or stumbles through the summer half, May through October, so you are better off stepping aside until the fall. We put it to the test on 20 years of daily S&P 500 closes.

The two halves as strategies

Start with the blunt version: hold the S&P 500 in only one half of the year and sit in cash the other half. Here is how each did over the full 20 years, next to plain buy-and-hold.

Winter really has been the stronger half

Breaking every year into its two halves, the seasonal pattern shows up clearly. Year by year, the winter bars tend to stand taller than the summer bars.

Across 19 completed years, winter averaged +5.88% versus summer’s +3.78%, roughly one and a half times the return in the stronger half. The pattern behind the adage is real.

But “go away” would have cost you

Here is where the saying falls apart as advice. Summer was still positive, and it finished green more often than winter: 74% of summers were up versus 68% of winters. Selling every May would have meant skipping a gain in roughly three of every four years.

Summer’s bad reputation comes from a handful of disasters rather than steady weakness. The worst summers were 2008 (−30%), 2011 (−8%), and 2022 (−6%), and market crashes have tended to cluster in September and October. But the typical summer, the median, still gained about +3%. That reflects a fatter downside tail rather than a season that is usually down.