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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 MSCI?

“Sell in May and go away” does not beat buy-and-hold on MSCI: -5.8 points a year over 19 years.

Total return
884.1%
Buy and hold
×25
CAGR
12.9%
Sharpe
0.59
Max drawdown
-46.8%
Trades
37
Out of sample
overfit
Years
19
1×10×28×2008201020122014201620182020202220242026
StrategyMSCI

Findings

  1. “Sell in May and go away” does not beat buy-and-hold on MSCI: -5.8 points a year over 19 years.
  2. Against the S&P 500 over the same window: +1.7 points a year.
  3. Total return +884.1% versus ×25 for buy-and-hold, with 37 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -46.8%.
  6. It beat before 2017 and stopped afterwards.
  7. It ranks #53 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 MSCI 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 MSCI → · Full page for “Sell in May and go away” →

How to cite

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

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