AUD: a “sell in May” phenomenon - Nomura

Analysts at Nomura explained that looking back, there has been a tendency for AUD/USD to fall in the month of May.

Key Quotes:

"Between 1995 and 2016, AUD depreciated against USD 16 out of the 22 years, by an average of 1.3%. Recently, these falls have been more pronounced, with an average fall of close to 5% between 2010 and 2016. At face value, this points to seasonality in the AUD, but a deeper analysis into the factors behind the moves points more to coincidence. Some participants have in the past been quick to extrapolate that a “sell in May” phenomenon and perceived seasonality across other asset markets as factors that have weighed on the AUD. But we think this is a quick and easy conclusion."

"Indeed, despite the market fixation with the notion, it is worth highlighting that the benchmark US S&P 500 equity market has actually risen in May more times than it has fallen since 1995 (14 increases compared with eight falls), with declines tending to come through in following months. In terms of AUD, statistical analysis finds no stable seasonality in May (or any other months). We would also add that if there were a seasonal bias, this should have presumably led to broad-based AUD weakness in May, rather than being concentrated against USD and CAD."