Calendar · month-end rule · Indexes & ETFs
January Barometer on S&P 500 ETF
What the play says
Latest reading: January return 1.5%
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
S&P 500 (SPY) January return
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 | +7.1% | +11.0% | +15.6% | +13.9% |
| Total return | +347% | +861% | +106% | +91% |
| Worst drawdown | −30.0% | −55.2% | −18.8% | −24.5% |
| Volatility | 11.4% | 18.9% | 13.2% | 17.1% |
| Sharpe ratio | 0.51 | 0.55 | 0.88 | 0.62 |
| Time invested | 58% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 5 of 20 closed calls (25%). In calls averaged +8.9%; out calls saw SPY move +10.6% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Dec 30, 2022 | IN | $364.77 | now | +113.3% | open |
| Jan 31, 2022 | OUT | $422.28 | Dec 30, 2022 | −13.6% | ✓ right |
| Dec 31, 2021 | IN | $445.79 | Jan 31, 2022 | −5.3% | ✕ wrong |
| Jan 29, 2021 | OUT | $342.77 | Dec 31, 2021 | +30.1% | ✕ wrong |
| Dec 31, 2020 | IN | $346.30 | Jan 29, 2021 | −1.0% | ✕ wrong |
| Jan 31, 2020 | OUT | $292.54 | Dec 31, 2020 | +18.4% | ✕ wrong |
| Dec 30, 2016 | IN | $192.02 | Jan 31, 2020 | +52.3% | ✓ right |
| Jan 29, 2016 | OUT | $162.91 | Dec 30, 2016 | +17.9% | ✕ wrong |
| Dec 31, 2015 | IN | $171.45 | Jan 29, 2016 | −5.0% | ✕ wrong |
| Jan 30, 2015 | OUT | $164.34 | Dec 31, 2015 | +4.3% | ✕ wrong |
| Dec 31, 2014 | IN | $169.36 | Jan 30, 2015 | −3.0% | ✕ wrong |
| Jan 31, 2014 | OUT | $144.00 | Dec 31, 2014 | +17.6% | ✕ 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 21 calls shown.
How the play works
- At the last close of January, measure SPY's January return: its last January close against its last December close.
- In from that close to the last close of December if the return is above zero.
- Out from that close to the last close of December if it is zero or below.
- In during January itself, while the new reading forms.
Hirsch uses the S&P 500 index. SPY's price stands in for it.
The barometer forecasts the year but says nothing about January itself. Holding through January is Be The Puck's choice.
The signal uses the market's January, as Hirsch did, not the stock's own. On SPY the two are the same.
The call can change only at 2 month-ends a year: the last close of January and of December.
Where the rules come from
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.