Using Canadian data for the period 1957–2018, this paper provides evidence in support of portfolio rebalancing by professional portfolio managers. We document strong seasonality in returns of Canadian stock and government bond indexes. However, the seasonality in the returns of the Canadian government bond index is opposite in direction to that of the Canadian stock index. Seasonal strength is observed in equities, especially smaller-cap stocks, at the beginning of the year, with the rest of the year, especially the second half, showing widespread seasonal weakness in relation to January. The opposite is true for Government of Canada bonds, confirming the predictions of the portfolio rebalancing hypothesis. In addition, this paper provides support for the popular expression “sell in May and go away”, as the average performance of risky securities is higher in the November to April period than in the May to October period. The opposite is true for Government of Canada bonds, which is also consistent with portfolio rebalancing. The paper’s findings will be useful not only to institutional investors but also to individual investors. Understanding the seasonal behavior of financial markets and the inefficiencies bestowed on them by institutional factors will help investors secure higher returns and a better retirement.