“Sell in May” Update
April 17, 2024 - Calendar Effects
How has the simple Sell in May strategy worked in the modern U.S. equity market, defined as the time since introduction of SPDR S&P 500 ETF Trust (SPY)? To investigate, we: Calculate 6-month SPY returns from the ends of April and October. Find yields for 6-month U.S. Treasury bills (T-bills) at the end of each… Keep Reading