Sell in May Performance: 10-Year Rolling
Has the seasonal edge persisted?
A rolling 10-year comparison of November-April vs. May-October returns shows that the seasonal edge has persisted across most decades but has been weakening since 2010 as markets have become more globally connected and algorithmic.
What history says
Editorial commentary written by ALAN analysts. Figures cited below are analyst-authored context — they are not derived from the chart above and may reflect different windows or sources.
The Nov-Apr outperformance was approximately 8-10% annualized in earlier decades. Since 2010, it has narrowed to approximately 3-4% as global markets reduce US-specific seasonality.
The original seasonal pattern was driven by US agricultural cycles and holiday spending. With a globally connected, algorithmically traded market, these domestic patterns have less influence.
Much of the January-April strength may be driven by reinvestment of proceeds from December tax-loss harvesting, rather than a true seasonal effect.
Seasonal edges erode as they become widely known, which is a caution against building any strategy on calendar patterns; favor the durable drivers of outcomes — costs, diversification, and disciplined rebalancing — over seasonal switching.