Mean reversion · month-end rule · Indexes & ETFs
1-Month Reversal on S&P 500 ETF
What the play says
Latest reading: SPY −0.3%
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Return for the month just ended
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 | +5.6% | +11.0% | +12.8% | +13.9% |
| Total return | +230% | +861% | +82% | +91% |
| Worst drawdown | −41.4% | −55.2% | −17.1% | −24.5% |
| Volatility | 14.7% | 18.9% | 12.7% | 17.1% |
| Sharpe ratio | 0.33 | 0.55 | 0.72 | 0.62 |
| Time invested | 33% | 100% | ||
| Switches per year | 5.1 | 0 |
Every call, graded
Right on 72 of 111 closed calls (65%). In calls averaged +1.9%; out calls saw SPY move +2.6% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | $762.63 | now | +2.0% | open |
| Jul 31, 2026 | OUT | $745.18 | Sep 30, 2026 | +2.3% | ✕ wrong |
| Jun 30, 2026 | IN | $744.92 | Jul 31, 2026 | +0.0% | ✓ right |
| Apr 30, 2026 | OUT | $715.04 | Jun 30, 2026 | +4.2% | ✕ wrong |
| Feb 27, 2026 | IN | $680.67 | Apr 30, 2026 | +5.0% | ✓ right |
| May 30, 2025 | OUT | $579.77 | Feb 27, 2026 | +17.4% | ✕ wrong |
| Feb 28, 2025 | IN | $582.73 | May 30, 2025 | −0.5% | ✕ wrong |
| Jan 31, 2025 | OUT | $590.23 | Feb 28, 2025 | −1.3% | ✓ right |
| Dec 31, 2024 | IN | $574.79 | Jan 31, 2025 | +2.7% | ✓ right |
| Nov 29, 2024 | OUT | $588.96 | Dec 31, 2024 | −2.4% | ✓ right |
| Oct 31, 2024 | IN | $555.81 | Nov 29, 2024 | +6.0% | ✓ right |
| May 31, 2024 | OUT | $512.25 | Oct 31, 2024 | +8.5% | ✕ 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 112 calls shown.
How the play works
- In at month-end when the stock's return for the month just ended is below SPY's.
- Out at month-end when it matched or beat SPY.
Jegadeesh ranked all stocks by last month's return. Trailing SPY stands in for being one of the losers.
On SPY itself, a down month stands in for trailing the market.
Lehmann's version uses weekly returns. Only the monthly one is tested here.
Returns include dividends, as everywhere on Be The Puck. A price-only index, such as the S&P 500 index itself, trails SPY in most months for that reason alone.
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.