Why the 'Sell in May and Go Away' Strategy Doesn't Hold Up

For decades, Wall Street traders have whispered about a curious market pattern: the idea to sell positions when spring arrives and stay on the sidelines until November. Known as “sell in may and go away,” this approach has become almost folklore among investors seeking to optimize returns. But does this seasonal trading approach actually deliver results, or is it just another market myth that leads people astray?

The strategy isn’t entirely baseless. Historical data does reveal a performance gap: markets have consistently posted stronger gains from November through April compared to the May-to-October stretch. According to research compiled by Forbes analyzing decades of market behavior, the S&P 500 averaged 6.5% returns during winter months versus just 1.6% in the summer period. The differential becomes even more pronounced when examining the Dow Jones or Nasdaq indices. The numbers seem to validate what traders have believed for generations.

The Historical Origins and Why They Don’t Apply Today

The concept traces back to 18th-century London, when wealthy investors would vacate the city during summer months. With fewer market participants and reduced trading volume, prices would naturally languish. This phenomenon made intuitive sense: no major actors meant no catalysts to drive equities higher.

But here’s where the narrative breaks down. While the seasonal pattern does show measurable evidence in historical records dating back to 1950, the practical reality diverges sharply from what the statistics suggest. The catch isn’t in the data—it’s in how investors respond to it.

The Shocking Cost of Market Timing

When researchers examined what actually happened to money invested across different periods, the findings were stark. From 1975 to 2024, according to American Century Investments data, investors who deployed the seasonal exit strategy—pulling money out every May and reinvesting in November—turned $1,000 into approximately $64,053, representing gains of roughly 6,305%.

Impressive? Perhaps. But compare that to an investor who simply held on year-round: that same $1,000 grew to $340,910, translating to returns exceeding 33,991%.

By doing absolutely nothing—by refusing to move money in and out of the market based on calendars—patient investors earned more than five times the wealth. This isn’t marginal outperformance. This is the compounding difference between active market timing and passive discipline.

When Trying to be Clever Costs You Everything

The strategy’s greatest vulnerability emerges during unforeseen market dislocations. After the sharp selloff in early 2020 triggered by pandemic concerns, markets staged one of the most spectacular recoveries in history precisely during months when the seasonal strategy dictated sitting on the sidelines. Those who religiously followed the “sell in may” approach missed one of the most important bull runs in modern market history.

Market timing—even when dressed up in seasonal logic—creates a fundamental problem: it forces investors to make consecutive correct decisions. They must exit at the right moment, stay out at the right moment, and reinvest at the right moment. Miss any piece of this three-part sequence, and the entire premise collapses.

The Simple Alternative That Actually Works

The evidence overwhelmingly demonstrates that attempting to dodge market periods, even when historical patterns suggest they’re underperformers, introduces more risk than it eliminates. The investor who remains fully positioned throughout the entire calendar year captures gains across all seasons—benefiting from strong periods while navigating weak ones as part of a complete experience.

Rather than trying to outsmart market seasonality, the superior approach involves commitment to consistent investing regardless of the month. This removes emotion, eliminates timing risk, and allows compound returns to accumulate without interruption. The performance gap between staying the course and market timing isn’t a few percentage points—it’s measured in multiples of wealth creation.

The bottom line is straightforward: seasonal strategies might captivate imaginations with their intuitive logic, but they consistently underperform simple buy-and-hold discipline. In investing, sometimes the most powerful move is doing nothing at all—staying invested every single month the market is open.