Momentum · month-end rule · Indexes & ETFs
52-Week High on S&P 500 ETF
What the play says
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
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 SPY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.2% | +11.0% | +12.1% | +13.9% |
| Total return | +576% | +861% | +77% | +91% |
| Worst drawdown | −33.7% | −55.2% | −23.0% | −24.5% |
| Volatility | 14.8% | 18.9% | 15.0% | 17.1% |
| Sharpe ratio | 0.55 | 0.55 | 0.59 | 0.62 |
| Time invested | 87% | 100% | ||
| Switches per year | 0.4 | 0 |
Every call, graded
Right on 5 of 8 closed calls (62%). In calls averaged +42.6%; out calls saw SPY move +11.1% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 28, 2023 | IN | $398.24 | now | +95.4% | open |
| Jun 30, 2022 | OUT | $356.72 | Apr 28, 2023 | +11.6% | ✕ wrong |
| Jul 31, 2020 | IN | $299.95 | Jun 30, 2022 | +18.9% | ✓ right |
| Mar 31, 2020 | OUT | $235.74 | Jul 31, 2020 | +27.2% | ✕ wrong |
| Jan 31, 2012 | IN | $101.77 | Mar 31, 2020 | +131.6% | ✓ right |
| Sep 30, 2011 | OUT | $87.14 | Jan 31, 2012 | +16.8% | ✕ wrong |
| Nov 30, 2009 | IN | $81.41 | Sep 30, 2011 | +7.0% | ✓ right |
| Jun 30, 2008 | OUT | $91.84 | Nov 30, 2009 | −11.4% | ✓ right |
| Dec 31, 2004 | IN | $81.36 | Jun 30, 2008 | +12.9% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 9 of 9 calls shown.
How the play works
- In at month-end when the close is within 5% of its 52-week closing high.
- Out when it slips more than 15% below the high.
The paper ranks all stocks against each other. The 95% and 85% thresholds are Be The Puck's choice.
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.