An Old Seasonal Truism

Most people are probably aware of the saying “sell in May and go away”. This popular seasonal Wall Street truism implies that the market’s performance is far worse in the six summer months than in the six winter months.

Numerous studies have been undertaken particularly with respect to US stock markets, which confirm the  relative weakness of the stock market in the summer months.


May has a bad reputation… rightly so, as it turns out.


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.


The Eleven Largest Markets in the World Under the Seasonal Microscope

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.

The comparison divides the calendar year into a summer half-year from May to October and a winter half-year from November to April. The position is assumed to be closed out on the first trading day of the following month. In the respective half-year in which no position in stocks is taken, a cash position that earns no interest is assumed to be held, so as to avoid any distortions in the depiction of the stock market’s seasonal returns by including interest income.

This much I will say in advance: 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 Half-Year Patterns of Nine Selected Countries

The charts below show the chained stock market performance in nine of the eleven countries during the summer months in red, during the winter months in green, as well as the full year returns in blue (=actual performance of the indexes).

Note: the scale of the charts is linear, 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 (but they do arithmetically).


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


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


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


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


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


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


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


United Kingdom: 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


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


In all of the markets shown here it was sensible to sell in early May – as the markets either posted losses or gains of less than one percent in the summer months in these countries. Investing in these markets during the summer was barely worth it:  After all, 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 nine countries shown above 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


Investing during the summer period was not profitable. Source: Seasonax


Conclusion – Sell In May Works

The table underscores that the summer weakness (a.k.a. the “Halloween Effect”) does indeed exist. Although it is a very simple and well-known rule, the pattern still works. 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 activity either.

The stability and persistence of the pattern suggests that “sell in May” will continue to work in the future.  Sometimes the simple rules are the best!

Note though: the table above is not complete – there are two countries in which investing in the summer months is actually profitable. If you want to learn which countries are defying the “Sell in May” rule and offer good prospects during the otherwise poor season, visit Seaonax News for a complete overview.


We couldn’t resist – Mark Twain chimes in with his two cents (of course, he didn’t have Seasonax).

Dimitri Speck specializes in pattern recognition and trading systems development. He founded Seasonax and publishes the website, which features free-of-charge seasonal charts for interested investors. In his book The Gold Cartel (published by Palgrave Macmillan, see link on the right hand side), commodities expert Dimitri Speck discusses gold price manipulation and modern-day credit excess. His commodities trading strategy Stay-C has won awards all over Europe. He is the publisher of the web site Seasonal Charts as well as of the Bloomberg app Seasonax and Head Analyst of the 90 Tage Trader Letter.



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

  • Hans:

    Fine write up, Mr Speck! For those whom continue with
    their summer investments, perhaps a good strategy would
    be the “sell to open options.”

    It is not uncommon to receive a 6% premium over a 90 day
    period, albeit it does entail some potential liabilities.

    The summer season could also be used to reposition ones

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