知識管理員發問：０９年５月第三條

Does the clich "sell in May and walk away" have any practical value? There are 2 types of arguemnts concluded from different sources:
The first one come from Larry Swedroe, who proposes a real-world test.
In an ongoing trial of sorts on the popular Bogleheads.org indexing discussion site, a name familiar to IU.com readers takes on the age-old adage.
The longtime advisor and financial researcher starts by creating a portfolio that buys the S&P 500 index on Jan. 1, 1926. It holds that position through that April before swapping its stock index for 30-day U.S. Treasury bills on May 1, 1926. Then, on Nov. 1, the Treasuries are sold and replaced with the S&P 500. That process is repeated every May and November, ending in April 2008.
"The results tell the story -- if an investor followed this strategy, they would have been worse off than had they just held stocks," wrote Swedroe.
He says the portfolio would've produced an annualized return of 8.3%, far less than the S&P 500's 10.25%.
On the other hand, there was another conclusion by John Mauldin:
He and his friend updated a chart on monthly stock market returns since 1950. It clearly shows that the November through April periods have on average been superior to the May through October half of the year
And the difference is quite significant. As Prieur notes, the “good” six-month period shows an average return of 7.9%, while the “bad” six-month period only shows a return of 2.5%. Of course, selling creates taxable events, which can hurt your returns.

Thus, I think there is no conclusive result regarding the "sell in May and walk away" strategy.