Average S&P 500 tracker return by calendar month, May 2005 through April 2026

Name: Average S&P 500 tracker return by calendar month, May 2005 through April 2026
Creator: Strasmore
Published: 2026-08-03
License: https://www.strasmore.com/terms/

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?.

as of 2026-08-03 table 12×5read in context →

Average S&P 500 tracker return by calendar month, May 2005 through April 2026 — 12 rows by 5 columns, computed 2026-08-03 from US exchange, SIP and OPRA data.
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: 2026-08-03
Completeness: No missing values
Source: US exchange, SIP and OPRA market data
Licence: Strasmore terms · free, no signup
Formats: JSON · CSV · the SQL below

What each column holds

Column definitions for Average S&P 500 tracker return by calendar month, May 2005 through April 2026, derived from the stored result.
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 2026-08-03, and the query below is what returned them.

the exact SQL behind every number

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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