An early-summer night’s dream
I measured this gain using the Dow Jones Industrial Average back to its creation in 1896. What I found might initially impress you: On average over the last 115 years, the Dow gained 5.3% from the end of May through its highest close over the next three months.
... for each month of the calendar in addition to May, I calculated the Dow’s gain from the end of that month to its highest close over the subsequent three months. It turns out that the average of those other months’ “rallies” was 5.2%—statistically indistinguishable from what it was in the case of the so-called Summer Rally.
NOW, WE KNOW.
Wait a minute, even more,
Without outlier years like that one, the Summer Rally loses even more statistical support.
Since 1940, for example, the average Dow gain from the end of May to its highest close over the next three months is just 4.0%. Seven of the other 11 months of the calendar sport higher average gains than this.