Momentum · month-end rule · Indexes & ETFs
12-1 Momentum on Gold ETF
What the play says
Latest reading: 12-1 return 14.9%
GLD with the play, last two years
Shading shows the play's call from the close that triggered it.
Return from 12 months to 1 month ago
Dashed line at 0.
Growth of $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding GLD over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.6% | +10.2% | +15.1% | +18.0% |
| Total return | +581% | +661% | +101% | +128% |
| Worst drawdown | −29.4% | −45.6% | −26.4% | −26.4% |
| Volatility | 16.2% | 18.5% | 17.8% | 18.9% |
| Sharpe ratio | 0.55 | 0.53 | 0.67 | 0.77 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 14 of 30 closed calls (47%). In calls averaged +10.2%; out calls saw GLD move +1.4% on average.
| Called | Call | Price | Until | GLD moved | Result |
|---|---|---|---|---|---|
| Apr 28, 2023 | IN | $184.80 | now | +106.5% | open |
| Mar 31, 2023 | OUT | $183.22 | Apr 28, 2023 | +0.9% | ✕ wrong |
| Jan 31, 2023 | IN | $179.41 | Mar 31, 2023 | +2.1% | ✓ right |
| Jul 29, 2022 | OUT | $164.10 | Jan 31, 2023 | +9.3% | ✕ wrong |
| Jun 30, 2022 | IN | $168.46 | Jul 29, 2022 | −2.6% | ✕ wrong |
| May 31, 2022 | OUT | $171.14 | Jun 30, 2022 | −1.6% | ✓ right |
| Feb 28, 2022 | IN | $178.38 | May 31, 2022 | −4.1% | ✕ wrong |
| Jul 30, 2021 | OUT | $169.82 | Feb 28, 2022 | +5.0% | ✕ wrong |
| Jun 28, 2019 | IN | $133.20 | Jul 30, 2021 | +27.5% | ✓ right |
| Jul 31, 2018 | OUT | $115.99 | Jun 28, 2019 | +14.8% | ✕ wrong |
| Nov 30, 2017 | IN | $121.10 | Jul 31, 2018 | −4.2% | ✕ wrong |
| Oct 31, 2017 | OUT | $120.67 | Nov 30, 2017 | +0.4% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 31 calls shown.
How the play works
- In at month-end when the return from 12 months ago to 1 month ago is above zero.
- Out when it is zero or below.
Jegadeesh and Titman ranked thousands of stocks and bought the winners. Testing one stock against zero is time-series momentum, a related idea.
The skip-a-month form came later; their 1993 paper skipped at most a week.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.