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Sell in May and the Halloween effect

Seasonality/six month windows · 1950 to 2025 · price return · 3 sources · data as of 31 Jul 2026

Sell in May and go away is one of the oldest sayings in the market. The idea is that the winter half of the year, November through April, does the heavy lifting, and the summer half, May through October, isn't worth showing up for. It's the kind of thing that gets repeated every spring by people who have never checked it.

So I checked it. Since 1950 the November to April window has annualised about 7.0% for the S&P 500 and May to October about 2.1%. The gap is real, it's held up for seventy five years, and it turns up in a lot of other countries too, which makes it harder to wave away as someone torturing one dataset. This page has the annualised returns, the hit rates for both windows, the cumulative Dow points version that the Stock Trader's Almanac prefers, and the two recent years where the whole thing went the other way.

The reason I wanted this page on the site is that the statistic and the advice attached to it don't match. Both windows make money. That single fact changes what you should do with this, and it's almost always left out. Three sources, all linked below, and they measure slightly different things, so read them rather than trusting my summary.