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Finaxion Research · “Sell in May and go away” · single stocks · Recomputed 2026-09-10

Does “Sell in May and go away” work on BXP?

“Sell in May and go away” does not beat buy-and-hold on BXP: -1.7 points a year over 29 years.

Total return
523.3%
Buy and hold
888.9%
CAGR
6.5%
Sharpe
0.38
Max drawdown
-59.5%
Trades
58
Out of sample
—
Years
29
1×8.2×1998200120042007201020132016201920222025
StrategyBXP

Findings

  1. “Sell in May and go away” does not beat buy-and-hold on BXP: -1.7 points a year over 29 years.
  2. Against the S&P 500 over the same window: -3.0 points a year.
  3. Total return +523.3% versus +888.9% for buy-and-hold, with 58 trades.
  4. Maximum drawdown -59.5%.
  5. It did not beat before 2012 and started afterwards.
  6. It ranks #129 of 232 markets for this strategy by annual excess over the S&P 500.

Findings derived from the full panel. Each carries its number and its denominator; the computations are reproducible with artifact 0b534dd04389.

Exactly what was tested

Long from the first trading day of November to the last of April; cash from May to October. Calendar rules: simulated with our seasonal engine, same costs as everything else.

How to read it

The verdict compares the strategy with buying and holding BXP over the same window, with round-trip costs per asset class. “Out of sample” is walk-forward: the rule is fit on one stretch and judged on the next. A result that beats in the full sample but not out of it is overfit. Full methodology in the protocol. How we test.

Open this backtest with its trades   Trades (CSV)

Every strategy on BXP → · Full page for “Sell in May and go away” →

How to cite

Finaxion Research (2026). Does “Sell in May and go away” work on BXP?. Daily backtest 1962-01-01–2026-08-31, artifact 0b534dd04389. https://finaxion.app/en/research/sell-in-may/bxp

Not a recommendation. Past performance does not guarantee future results.