The period May 1 to the turn of the month of November (-6 trading day of 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. 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 1 ½ times the returns of buy and hold for large cap S&P500 index and 2 times for the small cap Russell 2000 index during the period 1993-2019 in the index futures markets. Graphs and tables of returns for the entire 1993-2019 period are shown. The 2016-2019 time period had very high returns. For the S&P500, buy and hold and sell in May had essentially identical returns. The Russell 2000 sell in May is higher than buy and hold but with only three years data it is not statistically significantly higher than buy and hold.
Systemic Risk Centre Special Papers SP 17
Financial Markets Group Special Papers SP 251