May

5

Here is a check on the evolution of "Sell in May". SP500 Nov1-Apr30 mean returns were tested against zero, by decade ("00" = 2000's, "90"'s, etc):

Test of mu = 0 vs not = 0

Variable   N   Mean   StDev   SE Mean     95% CI            T      P
N-A 00    10  0.0105  0.0912  0.0288  (-0.0547, 0.0757)  0.36  0.724
N-A 90    10  0.1154  0.0871  0.0275  ( 0.0531, 0.1777)  4.19  0.002
N-A 80    10  0.0830  0.1055  0.0333  ( 0.0075, 0.1585)  2.49  0.034
N-A 70    10  0.0648  0.1233  0.0390  (-0.0234, 0.1531)  1.66  0.131
N-A 60    10  0.0576  0.1246  0.0394  (-0.0314, 0.1468)  1.46  0.177
N-A 50    10  0.0790  0.0841  0.0266  ( 0.0188, 0.1392)  2.97  0.016

All positive, 3/6 decades significantly greater than zero.  Here is the same test for May1-Oct31:

Test of mu = 0 vs not = 0

Variable   N     Mean   StDev   SE Mean     95% CI             T      P
M-O 00    10  -0.0152  0.1514  0.0478  (-0.1235, 0.0930)  -0.32  0.758
M-O 90    10   0.0442  0.0657  0.0207  (-0.0027, 0.0912)   2.13  0.062
M-O 80    10   0.0429  0.0979  0.0309  (-0.0271, 0.1130)   1.39  0.199
M-O 70    10  -0.0272  0.0683  0.0216  (-0.0761, 0.0216)  -1.26  0.240
M-O 60    10  -0.0064  0.0760  0.0240  (-0.0608, 0.0479)  -0.27  0.794
M-O 50    10   0.0414  0.0871  0.0275  (-0.0208, 0.1038)   1.51  0.166

3/6 decades were negative (however not significantly different than zero), 3/6 were positive (only the roaring 90's significant).

Russ Sears writes:

Having heard "sell in May" for eleven years, it is time to put paper to pencil. For the S&P index,

First day, whole mnth, month, year

1.30%,        ?        5      2,010  

0.54%,      5.17%  5      2,009 
 1.70%,      1.06%  5      2,008 
 0.26%,      3.20%  5      2,007 
-0.41%,     -3.14%  5      2,006 
 0.46%,      2.95%  5      2,005 
 0.92%,      1.20%  5      2,004 
-0.07%,      4.96%   5     2,003 
 0.88%,      -0.91%  5     2,002 
 1.35%,       0.51%  5     2,001 
 1.08%,      -2.22%  5     2,000

First day 9 positives, average 0.73%, worst -0.41% 2006, best 1.70% 2008,  Cumm. Binomial Dist 99.4%

Whole month 7 Positives, average +1.28%,  best 5.17% 2009, worst -3.14% 2006, Cumm. Binomial Dist 94.5%

No wonder this dogma seemed annoying.


Comments

Name

Email

Website

Speak your mind

Archives

Resources & Links

Search