Historically, markets deliver weaker and more volatile returns during the May through October timeframe than any other time of the year. Hence, the old adage: "Sell in May and go away." Negative May through October returns, though, typically show up only in bear markets. 

What To Know: Callum Thomas, head of research for Top Down Charts, claims that the old adage "Sell in May and go away" oversimplifies reality. While the May-October stretch often underperforms, seasonality behaves differently in bull versus bear markets. 

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Thomas says the "Sell in May" effect is most pronounced during bear markets, but bull markets still see gains, just with more bumps.

In bull markets, May through October still produces positive returns less often than November through April. In bear markets, the odds of losses spike during the May through October window.

This year, the S&P 500, as tracked by the SPDR S&P 500 ETF (NYSE:SPY), is down 5.61% heading into May. 

Why Does This Happen: Economic data and investor sentiment tend to be weaker from May to October, which Thomas says may help explain the seasonal dip. 

The U.S. dollar often weakens, while oil prices tend to rise during this period. Defensive assets, like treasuries and gold, often outperform during the May through October stretch, reflecting the risk-off mood.

What Else: Averages can be misleading, Thomas warns, and the performance gap between the two periods has been shrinking in recent years. Seasonality should be considered as part of a strategy, but not as a stand-alone investment thesis. 

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