Barry Ritholtz over at The Big Picture just posted an astounding chart showcasing the impact on returns due to seasonality. While it is somewhat 'data mining' (choosing the last 52 years) the larger point is still quite firm - investing in November thru April is generally far more favorable than in May thru October. The difference over this 52 year period is staggering. Starting with $10,000: Portfolio A returned ~$439,000... Portfolio B ~$23,000. Of course this is backward looking, and it failed in 2007 and 2008 as Barry points out, but it does make one stand up and notice! Not too bad for a method that requires two trades a year!
[click to enlarge]