Sell in May and Go Away in the Equity Index Futures Markets
8 Pages Posted: 24 Jan 2016
Date Written: January 22, 2016
The period May 1 to the turn of the month of November (last five trading days October) has historically produced negligible returns. The rest of the year (late October to the end of April) has essentially all the year's gains. In this paper we show that there is a statistically significant difference and conclude that the strategy go to cash in the weak period and go long in the strong period has about double the returns of buy and hold for large cap S&P500 index and triple for the small cap Russell2000 index during the period 1993-2015 in the index futures markets.
Keywords: Halloween indicator, small and large cap returns, portfolio management
JEL Classification: JEL: C19, C41, G11
Suggested Citation: Suggested Citation