Momentum · month-end rule · Indexes & ETFs
12-1 Momentum on Silver ETF
What the play says
Latest reading: 12-1 return 41.9%
SLV 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 2007
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SLV over exactly the same dates, after costs.
| Play, since 2007 | Hold, since 2007 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.3% | +7.5% | +13.3% | +20.3% |
| Total return | +291% | +306% | +86% | +151% |
| Worst drawdown | −52.3% | −76.3% | −52.3% | −52.3% |
| Volatility | 27.1% | 33.2% | 33.5% | 37.4% |
| Sharpe ratio | 0.34 | 0.34 | 0.43 | 0.59 |
| Time invested | 55% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 15 of 31 closed calls (48%). In calls averaged +7.7%; out calls saw SLV move +1.9% on average.
| Called | Call | Price | Until | SLV moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | $27.76 | now | +92.7% | open |
| Mar 28, 2024 | OUT | $22.75 | May 31, 2024 | +22.0% | ✕ wrong |
| Feb 29, 2024 | IN | $20.73 | Mar 28, 2024 | +9.7% | ✓ right |
| Jan 31, 2024 | OUT | $20.91 | Feb 29, 2024 | −0.9% | ✓ right |
| Apr 28, 2023 | IN | $23.00 | Jan 31, 2024 | −9.1% | ✕ wrong |
| Feb 28, 2023 | OUT | $19.22 | Apr 28, 2023 | +19.7% | ✕ wrong |
| Jan 31, 2023 | IN | $21.83 | Feb 28, 2023 | −12.0% | ✕ wrong |
| Dec 31, 2021 | OUT | $21.51 | Jan 31, 2023 | +1.5% | ✕ wrong |
| Nov 30, 2021 | IN | $21.06 | Dec 31, 2021 | +2.1% | ✓ right |
| Oct 29, 2021 | OUT | $22.09 | Nov 30, 2021 | −4.7% | ✓ right |
| Sep 30, 2021 | IN | $20.52 | Oct 29, 2021 | +7.7% | ✓ right |
| Aug 31, 2021 | OUT | $22.14 | Sep 30, 2021 | −7.3% | ✓ 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 32 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.