[转贴] Markman: Sell in May and — Now What?

何鸿燊

The May-September period isn't inherently bad for stocks

Jun 2, 2011, 1:39 pm EDT   |   By Jon Markman

The “sell in May and go away” crowd is feeling pretty proud of itself because their old wives’ tale turned out to be fairly good advice. May turned out to yield a -1% return. Not terrible, but definitely in the loss column.

But while the concept kind of rhymes, it does not hold up too well to historical analysis for the rest of the summer.

Analysts at Bespoke told clients last week that rather than looking at all years as equal it is better to group summers by how well the market is doing going into May, and also by years in the presidential cycle. (All data below goes back to 1971, when Memorial Day was designated the last Monday in May).

The analysts found that when the market is higher for the year through the Memorial Day weekend, the average return for the week after the holiday is 1% (and positive 72% of the time), the period between Memorial Day and July 4 averages a 2.5% gain (up 76% of the time) and the period from Memorial Day to Labor Day averages a 2.7% gain (up 76% of the time).

Furthermore, the period from Memorial Day to the end of the year averages a gain of 6.9% (up 80% of the time).

In the third year of the presidential cycle, the week after Memorial Day averages a gain of 16%; Memorial Day to July 4 averages 3.4%; Memorial Day to Labor Day averages 4.1%; and Memorial Day to year end averages 5.5%, with all of these up 80% to 90% of the time.

Looking just at the past 10 years the data looks a bit worse, but then the past 10 years have been pretty terrible for the market overall. If you just look at years in the past decade in which the market was up into Memorial Day — that would be 2003, 2004, 2006 and 2007 — the returns are positive. The most similar year to this one was probably 2006, and all the relevant spans were higher, with the total move from Memorial Day to year end logging a 10.8% gain.

Bottom line: There is nothing inherently bad about the May-September period despite the catchy phrase. Of course, this particular year could be an outlier — and if bulls don’t get their act together very soon, it may well be.

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