@article {Jones104, author = {Charles P Jones and Leonard L Lundstrum}, title = {Is {\textquotedblleft}Sell in May and Go Away{\textquotedblright} a Valid Strategy for U.S. Equity Allocation?}, volume = {12}, number = {3}, pages = {104--112}, year = {2009}, doi = {10.3905/jwm.2009.12.3.104}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article examines the so-called {\textquotedblleft}sell in May{\textquotedblright} strategy that has been referred to in the popular press for more than 40 years, and which Bouman and Jacobsen [2002] support with statistical evidence for multiple countries. The {\textquotedblleft}sell in May{\textquotedblright} anomaly not only conflicts with the efficient market hypothesis, it also has important implications for investors trying to exploit calendar time anomalies. The authors examine whether {\textquotedblleft}sell in May{\textquotedblright} is in fact a calendar time anomaly that can lead to a successful asset allocation strategy for major U.S. stock indexes. By analyzing the cumulative wealth produced by this strategy and a buy-and-hold strategy over a 30-year period, the authors find that regardless of the statistical evidence supporting this anomaly for countries around the world, the success of an implementable {\textquotedblleft}sell in May{\textquotedblright} asset allocation strategy depends heavily upon the time period examined. If investors choose to use such a strategy, they should understand why it may or may not be successful.TOPICS: Security analysis and valuation, portfolio construction, mutual funds/passive investing/indexing, performance measurement}, issn = {1534-7524}, URL = {https://jwm.pm-research.com/content/12/3/104}, eprint = {https://jwm.pm-research.com/content/12/3/104.full.pdf}, journal = {The Journal of Wealth Management} }