Momentum · month-end rule · Indexes & ETFs
12-1 Momentum on Nasdaq-100 ETF
What the play says
Latest reading: 12-1 return 19.8%
QQQ 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 QQQ over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.0% | +15.6% | +15.9% | +16.4% |
| Total return | +1,959% | +2,231% | +108% | +113% |
| Worst drawdown | −28.7% | −53.4% | −28.7% | −35.1% |
| Volatility | 18.4% | 21.6% | 19.7% | 23.0% |
| Sharpe ratio | 0.76 | 0.70 | 0.66 | 0.61 |
| Time invested | 86% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 12 of 18 closed calls (67%). In calls averaged +34.2%; out calls saw QQQ move +2.1% on average.
| Called | Call | Price | Until | QQQ moved | Result |
|---|---|---|---|---|---|
| Apr 28, 2023 | IN | $316.26 | now | +135.1% | open |
| May 31, 2022 | OUT | $299.95 | Apr 28, 2023 | +5.4% | ✕ wrong |
| Feb 28, 2019 | IN | $165.19 | May 31, 2022 | +81.6% | ✓ right |
| Jan 31, 2019 | OUT | $160.39 | Feb 28, 2019 | +3.0% | ✕ wrong |
| Aug 31, 2016 | IN | $108.54 | Jan 31, 2019 | +47.8% | ✓ right |
| Jul 29, 2016 | OUT | $107.41 | Aug 31, 2016 | +1.1% | ✕ wrong |
| Jun 30, 2016 | IN | $100.25 | Jul 29, 2016 | +7.2% | ✓ right |
| May 31, 2016 | OUT | $102.58 | Jun 30, 2016 | −2.3% | ✓ right |
| Apr 29, 2016 | IN | $98.29 | May 31, 2016 | +4.4% | ✓ right |
| Feb 29, 2016 | OUT | $95.01 | Apr 29, 2016 | +3.4% | ✕ wrong |
| Sep 30, 2009 | IN | $36.53 | Feb 29, 2016 | +160.1% | ✓ right |
| Jul 31, 2008 | OUT | $39.07 | Sep 30, 2009 | −6.5% | ✓ right |
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 19 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.