Deutsche Bank puts Sell in May back on trial. And finds it guilty of little more than luck

• The strategy showed 9% annualized returns versus 7.4% for buy-and-hold since 1987, but this entire outperformance disappears when excluding three years (1998, 2001, 2002) from the dot-com crash period
• Even a modified version using European government bonds instead of cash during summer months only beat the market in 13 of 28 years, with a median relative performance that is slightly negative
• In 2025, following the 'Sell in May' strategy cost investors 2.7 percentage points against the market, while US investors missed a 14% equity gain last summer by holding 3%-returning Treasuries instead

Deutsche Bank Debunks "Sell in May" Trading Strategy

Deutsche Bank strategists have published their fourth consecutive annual analysis challenging the popular "Sell in May and go away" market timing strategy, concluding it offers no more reliability than a coin flip.

Key Findings

European Markets Performance:

• Since 1987, selling the STOXX Europe 600 in May and returning in September generated 9% annualized returns versus 7.4% for buy-and-hold
• However, the strategy underperformed in 25 of 39 years tested
• In 2025 alone, the strategy cost investors 2.7 percentage points

Three Years Drove All Returns:

The apparent outperformance stems almost entirely from three exceptional years: 1998, 2001, and 2002, coinciding with the dot-com bust. Removing these years eliminates virtually all long-term outperformance. Over the past decade, the strategy underperformed in 8 of 10 years.

Bond-Enhanced Version:

Deutsche Bank tested replacing cash with European government bonds during summer months. This improved returns to 11% annualized (1998-present) against 6.5% for buy-and-hold, but still only beat the market in 13 of 28 years—again heavily dependent on the same three outlier years.

US Market Performance Even Weaker:

Against the S&P 500 since 1973, the cash version delivered 9.3% annualized versus 10.4% for buy-and-hold. The bond version achieved 12% but outperformed in only 22 of 53 years. Last summer, the strategy missed a 14% equity gain while earning just 3% in Treasuries.

Recommendation:

Deutsche Bank advises investors to ignore calendar-based strategies and focus on fundamental analysis instead, noting this approach has consistently outperformed seasonal timing over recent years.