“Sell in May” Component and Market Map Model Variables using Small Cap Value, Emerging Small Cap, Large Cap Value

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Supplemental Data

Purchasing stocks * on Nov 1 and selling on May 1 ( S&P500 index ) has produced excess returns vs. “holding” for the entire year

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* S&P500 Index

Since 1945, the S&P500 posted its strongest six-month average return from November 1 through April 30, recording an advance of 6.8% (excluding dividends), versus an average gain of 4.1% for all months.

… Utilities have outperformed highest performing stock universes from May 1 to Nov 1. Further excess returns were generated with . . .

. . . implemention of “Risk profile” variable calculation ….

. . . Utilites underperformed during “High” Risk profile years,

Bonds ( with 10 SMA cross rule ) / cash outperformed

The preponderance of > - 10% declines in the market ( S&P500 ) have occurred in the May - Oct period . . .

Emerging small cap universe has shown excess returns over emerging large and U.S. small cap . . .

Small Value and Emerging Small Cap Funds have shown superior performance vs. other stock universes since 1999