Halloween / Sell in May
Hold equities November–April and step aside May–October — the two-season calendar, also called the Halloween indicator.
Definition
Risk-on from close of October to close of April (conventions vary by a few days). Hold cash or bonds in the other six months. One of the oldest equity calendar rules. Related to, but not identical to, the world-index seasonality sleeve.
Why it matters
It is simple enough to be a policy overlay. It is also simple enough to be fully in the price and to fail in a melt-up summer.
Case
2013, 2017, 2020 summers: selling in May left a lot of beta on the table. 2008, 2011: the rule looked like genius. Six-month beta is a coarse instrument.
How to read it
Exact dates, what you hold in the off season, and a post-1990s sample. Do not stack five calendar rules and call it robustness.