Investing.com — The “Sell in May and go away” adage is back in season, but Deutsche Bank says investors should not put much stock in it.
In the fourth edition of its Myth Buster series on the phenomenon, analyst Maximilian Uleer examined multiple versions of the strategy across indices, including the S&P 500, STOXX 600, and , testing different entry and exit points.
Selling at the end of May and reinvesting at the end of September consistently delivered the strongest results in simulations.
On the surface, the strategy shows appeal. Applied to the since 1987, it produced 9.0% annualized returns versus 7.4% for a buy-and-hold approach.
But Deutsche Bank said the headline numbers obscure a more sobering record. The strategy underperformed buy-and-hold in 25 of 39 years, and its edge largely disappears without the sharp summer downturns of 1998, 2001 and 2002. Over the past decade, it underperformed in eight of 10 years.
Results were said to have been similarly weak for U.S. equities, where the strategy beat the market in only 22 of 53 years. For the EURO STOXX 50 and DAX, the hit ratio remained below 50% across all tested combinations.
“Our stance on ‘Sell in May’ remains unchanged: The strategy, in our view, offers no statistical edge over ‘Buy and Hold’ and its success is as random as betting on heads in a coin toss,” Uleer wrote.
Deutsche Bank said it favors a fundamental investment approach over seasonal patterns.
