Sell-in-May-and-Go-Away: The International Evidence

We investigate the Sell-in-May-and-Go-Away effect using equity index futures data for the U.S. and 24 international markets. The Sell-in-May seasonality is pervasive: in no country do returns from investing in the summer months exceed those from investing in the winter months, and investing using the “Sell-in-May” strategy earns higher returns than the “Buy-and-Hold” strategy in 21 of the 25 markets. Investigating returns by calendar month reveals that the worst month of the year occurs during the summer period in all markets, and the best month occurs during the winter period in all markets except two. In addition to higher returns, the winter period also has lower risk than the summer period, making Sharpe ratios in winter quite attractive. Contrary to conventional wisdom, in two-thirds of countries, the largest Sharpe ratios do not accrue at year-end but rather in April, reflecting the combination of high returns and low volatility during that month.