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

Deutsche Bank’s strategists re-examined the long-standing “Sell in May” seasonal trade and conclude it is unreliable. While selling the STOXX Europe 600 from May to September would have shown higher annualised returns since 1987 (9% vs 7.4% buy-and-hold), that outperformance is driven by three extreme years (1998, 2001, 2002). The strategy underperformed buy-and-hold in 25 of 39 years and in 8 of the last 10 years; in 2025 it would have cost investors 2.7 percentage points. A version that switches to European government bonds over summer improves returns but remains fragile. The strategy performs worse versus the S&P 500 (9.3% vs 10.4% buy-and-hold since 1973). Deutsche Bank advises ignoring calendar rules and focusing on fundamentals.