Sell in May and go away at your own peril

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If history is any guide, it's a coin toss as to whether or not you would make money in stocks during the summer months. But when you look at more recent figures, the trend certainly skews to staying invested in May. That just doesn't rhyme.

Using data from Kensho, a tool designed to quantify historical events, we ran a study of how stocks performed during the summer months in the past two decades to find any winning trades. Here is what the data shows:

Market Performance from Memorial Day to Labor Day (20 years)

  • S&P 500 up only 55 percent of the time with an average return of 0.13 percent
  • Dow up only 55 percent of the time with an negative average return of -0.19 percent
  • Russell 2000, up only 50 percent of the time, but with an average return of 0.60 percent
  • S&P tech sector matches the odds of the broader market to rise, but has a much better average return of 3 percent
  • NASDAQ 100 echoes that sentiment up 60 percent of the time, with an average return of 3 percent
  • S&P health care sector is positive the most, up 65 percent of the time, with an average return of 1.53 percent

The trend shows you should stay away from consumer-related companies:

  • S&P consumer staples sector companies are down 60 percent of the time, with an average negative return of -2.89 percent
  • S&P consumer discretionary sector companies were down 65 percent of the time, with an average negative return of -0.98 percent

Market Performance from Memorial Day to Labor Day (10 years)

  • S&P 500 has been positive 60 percent of the time, with an average return of 0.98 percent, much better than the return of 0.13 percent over the last 20 years
  • NASDAQ 100 has been positive 70 percent of the time with an average gain of 3.87 percent
  • Dow has been up only 50 percent, with an average return of 0.45
  • S&P health care, which was positive 65 percent of the time over the last 20 years, goes up to 80 percent of the time in the last 10 years, with an average return of 2.72 percent
  • S&P tech sector is up 60 percent of the time, with an average return of 3.18 percent

Similar to the 20-year period, consumer-related companies and banks performed the worst:

  • S&P consumer discretionary sector is down 60 percent of the time, with an average negative return of -0.62 percent
  • S&P banks industry group is up 50 percent of the time, with an average negative return of -3.14 percent (This is because the financial crisis numbers in 2008 skew the values)

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Disclosure: NBCUniversal, parent of CNBC, is a minority investor in Kensho.

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