Momentum · month-end rule · Indexes & ETFs
12-1 Momentum on Russell 2000 ETF
What the play says
Latest reading: 12-1 return 22.4%
IWM 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 IWM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.7% | +8.5% | +1.4% | +5.8% |
| Total return | +172% | +490% | +7% | +32% |
| Worst drawdown | −42.6% | −58.6% | −31.1% | −31.9% |
| Volatility | 17.7% | 24.0% | 17.0% | 22.4% |
| Sharpe ratio | 0.25 | 0.39 | −0.06 | 0.19 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 13 of 30 closed calls (43%). In calls averaged +7.2%; out calls saw IWM move +6.9% on average.
| Called | Call | Price | Until | IWM moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | $232.15 | now | +19.2% | open |
| Jul 31, 2025 | OUT | $216.57 | Aug 29, 2025 | +7.2% | ✕ wrong |
| Jun 30, 2025 | IN | $213.01 | Jul 31, 2025 | +1.7% | ✓ right |
| May 30, 2025 | OUT | $201.88 | Jun 30, 2025 | +5.5% | ✕ wrong |
| Dec 29, 2023 | IN | $194.85 | May 30, 2025 | +3.6% | ✓ right |
| Oct 31, 2023 | OUT | $159.13 | Dec 29, 2023 | +22.4% | ✕ wrong |
| Jun 30, 2023 | IN | $180.29 | Oct 31, 2023 | −11.7% | ✕ wrong |
| Feb 28, 2022 | OUT | $191.71 | Jun 30, 2023 | −6.0% | ✓ right |
| Dec 31, 2020 | IN | $183.13 | Feb 28, 2022 | +4.7% | ✓ right |
| Oct 30, 2020 | OUT | $142.55 | Dec 31, 2020 | +28.5% | ✕ wrong |
| Aug 31, 2020 | IN | $144.18 | Oct 30, 2020 | −1.1% | ✕ wrong |
| Mar 31, 2020 | OUT | $105.82 | Aug 31, 2020 | +36.3% | ✕ 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.