Sunday , 25 June 2017


“Sell in May and Go Away” – in 9 out of 11 Countries it Makes Sense to Do So

Most people are probably aware of the saying “sell in May andinvesting-hold-buy-sell go away”…[which] implies that the market’s performance is far worse in the six summer months than in the six winter months. Studies…confirm that to be the case…with respect to US stock markets…[but] what is the status of the “sell in May” rule in other countries though? I have examined the patterns in the eleven most important stock markets in the world. [Read on for the answers.]

The comments above & below are edited ([ ]) and abridged (…) excerpts from the original article written by Dimitri Speck (Seasonax.com)

I have taken a look at the popular benchmark stock indexes of the eleven countries with the largest market capitalization from 1970 onward, or starting from the earliest year as of which continuous price data are available, I will say in advance that the results are clear: in all eleven countries the winter half-year outperformed the summer half-year significantly. In the majority of these eleven countries one would actually have lost money during the summer half-year on average! These countries are:

  • Canada
  • France
  • Germany
  • Japan
  • Taiwan
  • United Kingdom

In other words, in these countries it would have been definitely better to go on vacation in the summer months – or to invest elsewhere.

The charts below show the chained stock market performance in all eleven countries during the summer months in red, during the winter months in green as well as the full year returns (=actual performance of the index) in blue. (Note that the charts are linearly scaled, as a result of which the performance patterns of the summer and winter half-year periods visually don’t appear to add up to the full year performance.)

Canada: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - Canada: summer half-year vs. winter half-year

The winter half-year even beats the full year. Source: Seasonax

China: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - China: summer half-year vs. winter half-year

Prices rise almost as strongly in the winter months as over the full year. Source: Seasonax

France: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - France: summer half-year vs. winter half-year

The winter half-year beats the full year significantly. Source: Seasonax

Germany: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - Germany: summer half-year vs. winter half-year

Once again the winter half-year clearly beats even the year as a whole. Source: Seasonax

Hong Kong: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - Hong Kong: summer half-year vs. winter half-year

The second-best performing summer half-year in our selection. Source: Seasonax

India: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - India: summer half-year vs. winter half-year

Only in India is the market’s performance during the summer nearly as strong as in the winter. Source: Seasonax

Japan: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - Japan: summer half-year vs. winter half-year

If one employs the “sell in May” strategy, even Japan is in a long term bull market. Source: Seasonax

Korea: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - Korea: summer half-year vs. winter half-year

During the winter prices rise almost as much as over the year as a whole. Source: Seasonax

Taiwan: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - Taiwan: summer half-year vs. winter half-year

In Taiwan the summer half-year is deeply in the red. Source: Seasonax

United Kingdom: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - UK: summer half-year vs. winter half-year

It suffices to be invested during the winter months. Source: Seasonax

US: Summer Half-Year vs. Winter Half-Year

Seasonal Insights Chart - US: summer half-year vs. winter half-year

The winter half-year beats the summer half-year, but not the full year. Source: Seasonax

As you can see, only two of the eleven largest stock markets in the world are actually posting notable gains in the summer half-year: Hong Kong and India.

  • In all other markets it was sensible and profitable to sell in early May as in these other countries:
    • the markets either posted losses or gains of less than 1% in the summer months…[and]
    • by employing the “sell in May” strategy one is also exposed to less risk because one is only invested half of the time.

Detailed Results by Country

The following table shows the half-year results of the eleven countries in detail.

  • Half-year periods in which it was profitable to be invested on a risk-adjusted basis are highlighted in green.
  • Half-year periods that generated losses are highlighted in red.

Overview of Country Selection: Half-Year Results

Seasonal Insights Chart - Overview of Country Selection: half-year results

Investing during the summer period was only profitable in two countries. Source: Seasonax

The table underscores that the summer weakness…does indeed exist…This very simple and well-known rule – “Sell in May”…has been around for decades and the pattern still works…[but, unfortunately,] apparently a far too small number of investors is actually taking action based on their knowledge of the pattern and there is almost no arbitrage either.

The stability and persistence of the pattern suggests that “sell in May” will continue to work in the future.

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One comment

  1. Mark Pronovich

    Like it.