Over the last twenty-one years, May has a mixed record. DJIA has averaged just 0.01% gain in eleven advancing and ten declining Mays. Russell 2000 has the best record, up thirteen and down eight with an average advance of 0.6% in all years. In the above chart, the full month of May’s average performance has been plotted. The month usually begins well, but quickly weakens before recovering and trading sideways until around mid-month. Just after mid-month, the major indexes then begin a six-trading-day slide before rebounding to close the month in mildly positive territory.
In midterm-election years like 2018, May’s average performance has been weaker. Midterm May’s begin in generally similar fashion, but weakness begins sooner, just ahead of mid-month, and lasts longer, until the penultimate trading day of the month. The month-end rally is also smaller in magnitude and duration leaving the full-month midterm May performance in the red across the board.
As always, please use protective buy and sell stops when trading futures and options.
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