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

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

“Sell in May and go away” does not beat buy-and-hold on KEYS: -12.6 points a year over 12 years.

Total return
218.0%
Buy and hold
×11
CAGR
10.2%
Sharpe
0.53
Max drawdown
-45.4%
Trades
24
Out of sample
overfit
Years
12
1×6.7×12.7×201520162017201820192020202120222023202420252026
StrategyKEYS

Findings

  1. “Sell in May and go away” does not beat buy-and-hold on KEYS: -12.6 points a year over 12 years.
  2. Against the S&P 500 over the same window: -4.1 points a year.
  3. Total return +218.0% versus ×11 for buy-and-hold, with 24 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -45.4%.
  6. It beats in neither half of the history (split at 2020).
  7. It ranks #147 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 KEYS 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 KEYS → · Full page for “Sell in May and go away” →

How to cite

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

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