Momentum · month-end rule · Indexes & ETFs
13612W Momentum on S&P 500 ETF
What the play says
Latest reading: 13612W 14.2%
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
13612W score: the 1, 3, 6 and 12-month returns at a yearly pace, averaged
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 | +8.6% | +11.1% | +6.5% | +13.9% |
| Total return | +502% | +872% | +37% | +91% |
| Worst drawdown | −21.0% | −55.2% | −20.3% | −24.5% |
| Volatility | 12.2% | 18.9% | 12.2% | 17.1% |
| Sharpe ratio | 0.59 | 0.56 | 0.27 | 0.62 |
| Time invested | 79% | 100% | ||
| Switches per year | 2.7 | 0 |
Every call, graded
Right on 23 of 58 closed calls (40%). In calls averaged +6.9%; out calls saw SPY move +2.1% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | IN | $715.04 | now | +8.8% | open |
| Mar 31, 2026 | OUT | $647.06 | Apr 30, 2026 | +10.5% | ✕ wrong |
| May 30, 2025 | IN | $579.77 | Mar 31, 2026 | +11.6% | ✓ right |
| Mar 31, 2025 | OUT | $550.26 | May 30, 2025 | +5.4% | ✕ wrong |
| Nov 30, 2023 | IN | $440.15 | Mar 31, 2025 | +25.0% | ✓ right |
| Sep 29, 2023 | OUT | $412.26 | Nov 30, 2023 | +6.8% | ✕ wrong |
| Mar 31, 2023 | IN | $391.97 | Sep 29, 2023 | +5.2% | ✓ right |
| Feb 28, 2023 | OUT | $377.96 | Mar 31, 2023 | +3.7% | ✕ wrong |
| Jan 31, 2023 | IN | $387.71 | Feb 28, 2023 | −2.5% | ✕ wrong |
| Dec 30, 2022 | OUT | $364.77 | Jan 31, 2023 | +6.3% | ✕ wrong |
| Oct 31, 2022 | IN | $366.69 | Dec 30, 2022 | −0.5% | ✕ wrong |
| Aug 31, 2022 | OUT | $373.67 | Oct 31, 2022 | −1.9% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 59 calls shown.
How the play works
- At each month-end, the score is 12 × the 1-month return + 4 × the 3-month return + 2 × the 6-month return + the 12-month return. Divided by 4, it is the average of the four returns, each scaled to a yearly pace.
- In when the score is above zero.
- Out when it is zero or below.
Keller and Keuning use the score inside their VAA and DAA strategies, which pick among asset-class ETFs and move to bonds or cash when too many look weak. On one stock, the stock is the only risky asset and cash is the safe one.
Signals are acted on the first trading day of the next month.
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.