Sell in May and Go Away in the Equity Index Futures Markets

8 Pages Posted: 24 Jan 2016

See all articles by Constantine S. Dzhabarov

Constantine S. Dzhabarov

Alpha Lake Financial Analytics Corp

William T. Ziemba

University of British Columbia (UBC) - Sauder School of Business

Date Written: January 22, 2016

Abstract

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

Dzhabarov, Constantine S. and Ziemba, William T., Sell in May and Go Away in the Equity Index Futures Markets (January 22, 2016). Available at SSRN: https://ssrn.com/abstract=2721068 or http://dx.doi.org/10.2139/ssrn.2721068

Constantine S. Dzhabarov

Alpha Lake Financial Analytics Corp ( email )

Vancouver, British Columbia
Canada
604-222-5539 (Phone)

William T. Ziemba (Contact Author)

University of British Columbia (UBC) - Sauder School of Business ( email )

2053 Main Mall
Vancouver, BC V6T 1Z2
Canada
604-261-1343 (Phone)
604-263-9572 (Fax)

HOME PAGE: http://williamtziemba.com

Register to save articles to
your library

Register

Paper statistics

Downloads
775
rank
29,111
Abstract Views
2,157
PlumX Metrics