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The Journal of Wealth Management

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Is “Sell in May and Go Away” a Valid Strategy for U.S. Equity Allocation?

Charles P Jones and Leonard L Lundstrum
The Journal of Wealth Management Winter 2009, 12 (3) 104-112; DOI: https://doi.org/10.3905/jwm.2009.12.3.104
Charles P Jones
is the Edwin Gill professor of finance at the College of Management, North Carolina State University in Raleigh, NC.
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  • For correspondence: charles_jones@ncsu.edu
Leonard L Lundstrum
is an associate professor of finance at the department of finance, College of Business, Northern Illinois University in DeKalb, IL.
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  • For correspondence: llundstrum@niu.edu
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Abstract

This article examines the so-called “sell in May” strategy that has been referred to in the popular press for more than 40 years, and which Bouman and Jacobsen [2002] support with statistical evidence for multiple countries. The “sell in May” anomaly not only conflicts with the efficient market hypothesis, it also has important implications for investors trying to exploit calendar time anomalies. The authors examine whether “sell in May” is in fact a calendar time anomaly that can lead to a successful asset allocation strategy for major U.S. stock indexes. By analyzing the cumulative wealth produced by this strategy and a buy-and-hold strategy over a 30-year period, the authors find that regardless of the statistical evidence supporting this anomaly for countries around the world, the success of an implementable “sell in May” asset allocation strategy depends heavily upon the time period examined. If investors choose to use such a strategy, they should understand why it may or may not be successful.

TOPICS: Security analysis and valuation, portfolio construction, mutual funds/passive investing/indexing, performance measurement

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The Journal of Wealth Management: 12 (3)
The Journal of Wealth Management
Vol. 12, Issue 3
Winter 2009
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Is “Sell in May and Go Away” a Valid Strategy for U.S. Equity Allocation?
Charles P Jones, Leonard L Lundstrum
The Journal of Wealth Management Oct 2009, 12 (3) 104-112; DOI: 10.3905/jwm.2009.12.3.104

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Is “Sell in May and Go Away” a Valid Strategy for U.S. Equity Allocation?
Charles P Jones, Leonard L Lundstrum
The Journal of Wealth Management Oct 2009, 12 (3) 104-112; DOI: 10.3905/jwm.2009.12.3.104
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  • Article
    • Abstract
    • BACKGROUND
    • DATA
    • STATISTICAL EVIDENCE FOR THE SELL IN MAY STRATEGY
    • INVESTING RESULTS FOR THE SELL IN MAY STRATEGY
    • HOW “SELL IN MAY” IMPACTS ASSET ALLOCATION STRATEGIES
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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