Sell in May? From Kim Zussman
This May sported a 3.3% gain in the S&P500, the biggest since 2003. Going back to 1987, however, May 2007 is not that unusual:
Date Return
05/1990 0.092
05/1997 0.059
05/2003 0.051
05/1991 0.039
05/1995 0.036
05/1989 0.035
05/2007 0.033
05/2005 0.030
05/1996 0.023
05/1993 0.023
05/1994 0.012
05/2004 0.012
05/2001 0.005
05/1988 0.003
05/1992 0.001
05/2002 -0.009
05/1998 -0.019
05/2000 -0.022
05/1999 -0.025
05/2006 -0.031
Somewhat more unusual was May 2006, having the lowest return of the series. Could it be that fears of repetition of 2/27/07 and 5/06 goosed risk premium enough to produce new record close?
Individual 95% CIs for mean based on pooled standard deviation:
Level N Mean StDev
1 20 0.0122 0.0365
2 20 0.0012 0.0371
3 20 0.0064 0.0377
4 20 0.0139 0.0375
5 20 0.0173 0.0310
6 19 0.0027 0.0324
7 19 0.0066 0.0417
8 19 -0.0110 0.0503
9 19 -0.0052 0.0469
10 19 0.0189 0.0334
11 19 0.0199 0.0425
12 20 0.0225 0.0357