Every year, the month of May brings up the same debate: should you sell your shares and come back in the fall?
A 250-year-old saying, validated by research
The origin of the adage “Sell in May and Go Away” dates back to 18th century England. City bankers liquidated their positions in May and did not return until September, after the Doncaster horse races.
What was just a mundane use has become a serious object of academic study. An analysis published in 2021, covering 114 markets over 323 years of history, showed that the November-April period outperforms May-October in 81 out of 108 countries, with an average difference of 4 to 6 points per year.
The effect is much more pronounced in Europe than in the United States, due to longer summer holidays which reduce liquidity on the markets of the Old Continent. On the CAC 40since 2006, the winter period has shown an annualized return of +6.02%, compared to -1.42% for the summer period, a difference of more than 7 points.
How to explain this saying?
The most compelling explanation for the seasonal effect comes from a study published in 2022 in the Journal of Banking & Finance. Net flows into investment funds, that is to say the cumulative purchases and sales of savers, follow exactly the same seasonal pattern as stock market returns.
These flows explain more than half of the winter outperformance. These are mainly the investors individuals who fuel this effect, by investing more at the start of the year, under the influence of end-of-year bonuses and tax decisions. The effect is therefore neither magical nor irrational: it reflects predictable human behavior, but insufficient to form the basis of a strategy.
2024-2025: when the saying turns against its followers
The last two summers have also been a brutal reminder of the limits of the exercise. Between May and October 2024, the S&P 500 rose by more than 13%, driven byartificial intelligence as well as the strength of the American economy. The following winter, from November 2024 to April 2025, the index fell by around 2%. It was in fact weighed down by the announcement of the rights
“Liberation Day” customs clearance.
The summer of 2025 hit the nail on the head: the S&P 500 jumped 19% between May and October,
recording its best May since 1990. In total, an American investor who blindly followed the “Sell in May” would have missed out on approximately 30% of cumulative summer gains over two years. The CAC 40 offers a more nuanced picture. Summer 2024, marked by dissolution of the National Assembly and the weakness of luxury, validated the saying with a decline of 8 to 9%. But the summer of 2025 contradicted this, with the CAC reaching an all-time high of 8,258 points at the end of October.
The market timing trap
But the biggest weakness of “Sell in May” lies elsewhere. According to Bloomberg data, $1,000 invested in the S&P 500 in 1976 and held continuously would have grown to nearly $295,000 today. Applying the seasonal strategy, this same investment would have produced only $46,000, more than six times less.
THE dividends missed between May and July, the taxation triggered with each sale and transaction costs explain this gap. September and October remain statistically the most dangerous months of the year. But summers can also be extraordinary, and staying out of the market to avoid average risk means insuring yourself at a certain cost. The saying goes, “sell in May.” The data says “stay invested,” so keep your eyes open.
