May Seasonality: What the Statistics Are Signaling
May has traditionally been the month that divides market participants between those quick to invoke the old saying “sell in May and go away” and those who dismiss it as mere calendar folklore. Our seasonality analysis for May, covering more than 130 instruments monitored by KBMeter over a ten-year horizon, tells a more nuanced story.
It should be noted that the results of this analysis reflect a tendency rather than any hard-and-fast rule. Still, the numbers show that out of 130 instruments analyzed, 102 display a positive average historical return in the month of May. The average return across the full universe is +1.1%, with a median of +0.8% — suggesting that a few highly volatile instruments (led by crypto) are pulling the mean upward.
A particularly interesting point concerns the comparison with April, a month that has already incorporated — and in many cases exceeded — the typical average historical return for May. This raises a question that statistics alone cannot answer: does a historically positive May that follows an already exceptionally strong April retain the same probability of success?
The most robust result of the entire analysis is not in equities.
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