Momentum · month-end rule · Indexes & ETFs
Dual Momentum on S&P 500 ETF
What the play says
Latest reading: This stock 15.7% · S&P 500 (SPY) 15.7% · T-bills 3.7%
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
12-month returns
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 SPY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.7% | +11.1% | +12.7% | +13.9% |
| Total return | +649% | +872% | +81% | +91% |
| Worst drawdown | −33.7% | −55.2% | −18.8% | −24.5% |
| Volatility | 14.5% | 18.9% | 13.7% | 17.1% |
| Sharpe ratio | 0.59 | 0.56 | 0.66 | 0.62 |
| Time invested | 83% | 100% | ||
| Switches per year | 0.6 | 0 |
Every call, graded
Right on 6 of 14 closed calls (43%). In calls averaged +23.3%; out calls saw SPY move +5.3% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2023 | IN | $426.00 | now | +82.6% | open |
| Apr 29, 2022 | OUT | $387.90 | Jun 30, 2023 | +9.8% | ✕ wrong |
| May 29, 2020 | IN | $278.33 | Apr 29, 2022 | +39.4% | ✓ right |
| Mar 31, 2020 | OUT | $235.74 | May 29, 2020 | +18.1% | ✕ wrong |
| Feb 28, 2019 | IN | $248.68 | Mar 31, 2020 | −5.2% | ✕ wrong |
| Dec 31, 2018 | OUT | $223.02 | Feb 28, 2019 | +11.5% | ✕ wrong |
| Mar 31, 2016 | IN | $173.73 | Dec 31, 2018 | +28.4% | ✓ right |
| Jan 29, 2016 | OUT | $162.91 | Mar 31, 2016 | +6.6% | ✕ wrong |
| Oct 30, 2015 | IN | $173.83 | Jan 29, 2016 | −6.3% | ✕ wrong |
| Sep 30, 2015 | OUT | $160.20 | Oct 30, 2015 | +8.5% | ✕ wrong |
| Jun 29, 2012 | IN | $106.49 | Sep 30, 2015 | +50.4% | ✓ right |
| May 31, 2012 | OUT | $102.33 | Jun 29, 2012 | +4.1% | ✕ 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 15 calls shown.
How the play works
- In at month-end when the stock's 12-month return beats both T-bills and SPY.
- Out otherwise.
Antonacci applies dual momentum to whole asset classes, not single stocks, and holds bonds when out.
On SPY itself only the T-bill test applies.
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.