YTD / Sell in May, from Kim Zussman
Speaking of trends how does the May-Oct (April 30-Oct 31) period perform as a function of the YTD performance as of April 30?
SP500 (1951-2013) Dec 31-Apr30 returns were sorted:
"-" is down more than 2%.
"+-" was flattish, return between -2% and +2% (2014*).
"+" was up more than 2%.
Sorted this way, the returns for the 6 months following YTD-Apr 30 appear to continue the trend:
One-Sample T: May-Oct-, May-Oct+-, May-Oct+
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T
May-Oct- 17 -0.0408 0.12458 0.0302 (-0.1048, 0.0232) -1.35
May-Oct+- 11 0.0059 0.0897 0.0270 (-0.0543, 0.0662) 0.22
May-Oct+ 35 0.0389 0.0680 0.0115 ( 0.0155, 0.0623) 3.39
* YTD as of 4/30/14 is 1.93%