Average S&P 500 tracker return by calendar month, May 2005 through April 2026
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-03, from Does Sell in May and Go Away Work?.
| label | readings | avg_return_pct | median_return_pct | positive_readings |
|---|---|---|---|---|
| Jan | 21 | 0.36 | 1.59 | 12 |
| Feb | 21 | 0.13 | 0.25 | 11 |
| Mar | 21 | 0.58 | 0.96 | 13 |
| Apr | 21 | 2.4 | 1.56 | 17 |
| May | 21 | 0.88 | 1.39 | 16 |
| Jun | 21 | -0.19 | -0.19 | 10 |
| Jul | 21 | 2.63 | 2.28 | 17 |
| Aug | 21 | 0.28 | 1.42 | 13 |
| Sep | 21 | -0.75 | 0.38 | 12 |
| Oct | 21 | 0.97 | 2.17 | 12 |
| Nov | 21 | 2.39 | 2.75 | 16 |
| Dec | 21 | 0.19 | 0.4 | 13 |
- Rows × columns
- 12 × 5
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
label |
text | 12 distinct values (Apr, Aug, Dec…) | |
readings |
number | every row is 21 | |
avg_return_pct |
number | -0.75 to 2.63 | percent |
median_return_pct |
number | -0.19 to 2.75 | percent |
positive_readings |
number | 10 to 17 |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
WITH monthly AS (
SELECT toStartOfMonth(toDate(toTimeZone(window_start, 'America/New_York'))) AS month_start,
argMax(close, window_start) AS month_close
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND toDate(toTimeZone(window_start, 'America/New_York')) >= toDate('2005-04-01')
AND toDate(toTimeZone(window_start, 'America/New_York')) <= toDate('2026-04-30')
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959
GROUP BY month_start
),
month_returns AS (
SELECT m1.month_start AS month_start,
100 * (toFloat64(m1.month_close) / toFloat64(m0.month_close) - 1) AS ret_pct
FROM monthly AS m1
INNER JOIN monthly AS m0 ON m0.month_start = addMonths(m1.month_start, -1)
)
SELECT formatDateTime(month_start, '%b') AS label,
count() AS readings,
round(avg(ret_pct), 2) AS avg_return_pct,
round(quantileDeterministic(0.5)(ret_pct, cityHash64(month_start)), 2) AS median_return_pct,
countIf(ret_pct > 0) AS positive_readings
FROM month_returns
GROUP BY label
ORDER BY min(toMonth(month_start))
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