When investors think of the stock market's annual seasonality, as expressed by the adage 'Sell in May and Go Away', they usually relate it to the U.S. market. But in fact the historical pattern of stock markets making most of their gains in the winter months, and experiencing most of their bear market declines and corrections in the unfavorable summer months, is also common in global markets.
A 27-page academic study conducted at the Rotterdam School of Management in the Netherlands and published in the American Economic Review in 2002, concluded, "Surprisingly we found this inherited wisdom of Sell in May to be true in 36 of 37 developed and emerging markets. Evidence shows that in the United Kingdom the seasonal effect has been noticeable since 1694. . . . A trading strategy based on this anomaly would be highly profitable in many countries. The average annual risk-adjusted outperformance ranges between 1.5% and 8.9%, depending on the country being considered. The effect is robust over time, economically significant, unlikely to be caused by data-mining, and not related to taking excess risk."
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