I've read this post in the past, and there is something to what he says, but it doesn't tell the whole story. I like Paul, he has some good things to say about how the market behaves. However, he's one of those who looks at the "Sell in May" strategy, sees that it's not all it's cracked up to be, and ignores the concept of seasonal investing any further. I agree - a straight "Sell at the end of May and buy back in on 1 Sep or 1 Oct" method isn't a very good one. But that's not the end of the idea.
His "1970 - 2016" number essentially says "CAGR 1+%, PNR 67%" He's counting only from Memorial Day to Labor Day. For 2017, that would mean "IFT out on 30 May, IFT back in on 5 Sep". Since he's not counting September, his numbers are more favorable than if had included it. September is a historically bad month.
Here's what my data says:
C Fund, Jun - Sep combined returnsSince 1988: CAGR -0.38%, PNR 72% (21 of 29 years positive)
Last 20 years: CAGR -1.54%, PNR 65%
Last 10 years: CAGR -0.29%, PNR 70%
Last 5 years: CAGR 2.5%, PNR 80%
However, if you look at just Jun, Aug and Sep, it's a much worse story:
C Fund - Jun, Aug and Sep combined returnsSince 1988: CAGR -1.39%, PNR 59% (17 of 29 years are positive)
Last 20 years: CAGR -2.09%, PNR 60%
Last 10 years: CAGR -2.08%, PNR 50%
Last 5 years: CAGR 0.29%, PNR 60%
July by itself makes a big difference.
C Fund - July onlySince 1988: CAGR 1.11%, PNR 52% (15 of 29 years are positive)
Last 20 years: CAGR 0.7%, PNR 50%
Last 10 years: CAGR 1.89%, PNR 60%
Last 5 years: CAGR 2.16%, PNR 80%
From what I can see, staying out of the market in Jun, Aug and Sep will improve your return by 2%. Being in the market for July improves your return by another 1%. Lastly, since you're not in the market, you'll be in the F Fund.
F Fund - Jun, Aug and Sep combined returnsSince 1988: CAGR 2.05%, PNR 86% (25 of 29 years are positive)
Last 20 years: CAGR 1.83%, PNR 85%
Last 10 years: CAGR 0.99%, PNR 70%
Last 5 years: CAGR 0.38%, PNR 60%
Being in the F Fund instead of stocks during Jun, Aug and Sep will add even more to your account, to the tune of somewhere between 0.5 - 1.5% because recent years haven't been so kind while older years have been much better.
Put all together, not being in Jun, Aug and Sep gets you about 2%, July gives you another 1%, and the F Fund gives you another 0.5% - 1.5%. That's 3.5 - 4.5% more than if you just stay in the market all summer. This is why all of the high performing Mixes all follow a similar pattern to this in the summertime.