The thesis
“Sell in May and go away still works as a market timing rule.”
How buffet read it
$10,000 split evenly between SPY and BIL as a static buy-and-hold proxy.
2016–2026.
Dividends reinvested.
Benchmark: S&P 500.
The seasonal timing rule itself cannot be executed here; see notes.
SPY 50%, BIL 50% · 2,679 trading days · benchmark SPY
$10,000 became
$0
The same money in the S&P 500 would have been $45,429 over 2016–2026 — the thesis came up short by $16,455.
The worst stretch
−21.3%, February 2020 to March 2020 — you would have sat through one month of that, and it took until August 2020 to get back to level.
the S&P 500 fell 33.7% at its worst over the same period. The thesis moved 11.4% a year against 17.8% for the index.
Where the thesis was wrong
The thesis lost to the index by $16,455 over 2016–2026, ending at $28,973 (+189.7%) against the S&P 500's $45,429 (+354.3%). That gap matters more because the seasonal rule itself was never tested here — the engine cannot execute calendar-based switching, so a static 50/50 SPY/BIL portfolio stood in instead. That substitution is not equivalent to the thesis; it is a placeholder showing the two instruments, nothing more. The worst year was 2022 at −12.6%, softer than the index's −18.2%, but that cushion came from permanent cash drag, not timing skill.
Counter-test
Same money, same schedule, parked in 1–3 month T-bills instead: $12,518.
Year by year
| Year | The thesis | SPY |
|---|---|---|
| 2016 | +6.8% | +13.6% |
| 2017 | +11.9% | +21.7% |
| 2018 | −1.9% | −4.6% |
| 2019 | +18.5% | +31.2% |
| 2020 | +11.6% | +18.4% |
| 2021 | +19.0% | +28.7% |
| 2022 | −12.6% | −18.2% |
| 2023 | +19.2% | +26.2% |
| 2024 | +19.2% | +24.9% |
| 2025 | +14.2% | +17.7% |
| 2026 | +10.8% | +13.4% |
What this verdict does not include
- US-listed stocks and ETFs only, priced on end-of-day closes.
- No tax, no trading fees, no slippage, no bid-ask spread.
- Dividends are reinvested, because closes are adjusted for them.
- Survivorship is not corrected for: only instruments that exist today are held.
- Only 11 years of history exist for this. Read it accordingly.
- The 'Sell in May and go away' rule requires switching: hold SPY from November through April, then move entirely to BIL (cash) from May through October each year. This engine cannot execute calendar-based switching or market-timing rules.
- The portfolio shown is a static 50/50 SPY/BIL buy-and-hold, which is NOT equivalent to the seasonal strategy — it is only a rough placeholder to illustrate the two instruments involved.
- To properly test this thesis you would need a backtesting engine that supports monthly rebalancing with conditional calendar logic.
Keep this thesis
buffet re-runs it once a month and mails you the new number. Nothing else is ever sent.
Another thesis
Every verdict names something it could not test. That gap is usually the next thesis.
Run another thesis — $5