Calendar Effects
“Sell in May and go away.” “September is the worst month.” Here is what 20 years of real S&P 500 data says about calendar patterns, and why most are too weak to trade on.
Month by month
| Month | Average change | Share of years up |
|---|---|---|
| January | +0.3% | 55% |
| April | +2.4% | 80% |
| June | −0.2% | 47% |
| July | +2.4% | 80% |
| September | −0.8% | 55% |
| November | +2.3% | 75% |
SPY monthly price changes, 2006 to 2026, in our price data. Past performance does not predict future results.
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