In the fourth episode of his "MythBuster" series on this phenomenon, analyst Maximilian Uleer examined a variety of strategy options for various indices, including the S&P 500, STOXX 600, DAX, and EURO STOXX 50, testing different entry and exit points.

Selling at the end of May and reinvesting at the end of September consistently produced the strongest results in the simulations.

At first glance, the strategy appears attractive. Applied to the STOXX Europe 600 since 1987, it has yielded 9.0% annual returns, compared to 7.4% for the buy-and-hold strategy.

However, Deutsche Bank noted that the overall figures mask a more sobering picture. The strategy has been outperformed by the buy-and-hold approach in 25 out of 39 years, and its advantage largely disappears when considering the sharp summer declines in 1998, 2001, and 2002. Over the past decade, it has performed poorly in eight out of 10 years.

The results were equally weak for US stocks, where the strategy outperformed the market only in 22 out of 53 years. For the EURO STOXX 50 and DAX, the success rate remained below 50% in all tested combinations.

"Our position on the 'Sell in May' strategy remains unchanged: in our opinion, the strategy does not provide a statistical advantage over the 'Buy and Hold' approach, and its success is as random as betting on heads when flipping a coin," Uleer wrote.

Deutsche Bank has stated that it prefers a fundamental investment approach over seasonal patterns.