Deutsche Bank Rejects ‘Sell in May’ Edge

Deutsche Bank analyst Maximilian Uleer notes “Sell in May” gave 9.0% vs 7.4% buy‑and‑hold on STOXX Europe 600 since 1987, lacking edge.
The strategy underperformed buy‑and‑hold in 25 of 39 years and failed in eight of the last ten years without sharp summer downturns.
For U.S. equities it beat the market in 22 of 53 years; for EURO STOXX 50 and DAX hit ratio stayed below 50%.
Deutsche Bank maintains its view that “Sell in May” offers no statistical edge and prefers a fundamental investment approach.