Calendar · daily rule · Indexes & ETFs
Turn of the Month 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 | +2.8% | +11.0% | +4.3% | +13.9% |
| Total return | +83% | +861% | +23% | +91% |
| Worst drawdown | −18.0% | −55.2% | −9.3% | −24.5% |
| Volatility | 7.8% | 18.9% | 7.4% | 17.1% |
| Sharpe ratio | 0.17 | 0.55 | 0.09 | 0.62 |
| Time invested | 19% | 100% | ||
| Switches per year | 24.1 | 0 |
Every call, graded
Right on 241 of 526 closed calls (46%). In calls averaged +0.2%; out calls saw SPY move +0.7% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Oct 5, 2026 | OUT | $774.83 | now | +0.4% | open |
| Sep 29, 2026 | IN | $764.20 | Oct 5, 2026 | +1.4% | ✓ right |
| Sep 3, 2026 | OUT | $771.25 | Sep 29, 2026 | −0.9% | ✓ right |
| Aug 28, 2026 | IN | $767.44 | Sep 3, 2026 | +0.5% | ✓ right |
| Aug 5, 2026 | OUT | $767.88 | Aug 28, 2026 | −0.1% | ✓ right |
| Jul 30, 2026 | IN | $739.85 | Aug 5, 2026 | +3.8% | ✓ right |
| Jul 6, 2026 | OUT | $749.42 | Jul 30, 2026 | −1.3% | ✓ right |
| Jun 29, 2026 | IN | $739.16 | Jul 6, 2026 | +1.4% | ✓ right |
| Jun 3, 2026 | OUT | $750.44 | Jun 29, 2026 | −1.5% | ✓ right |
| May 28, 2026 | IN | $750.80 | Jun 3, 2026 | 0.0% | ✕ wrong |
| May 5, 2026 | OUT | $720.12 | May 28, 2026 | +4.3% | ✕ wrong |
| Apr 29, 2026 | IN | $707.99 | May 5, 2026 | +1.7% | ✓ 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 527 calls shown.
How the play works
- In at the close two trading days before month-end.
- Out at the close on the third trading day of the new month.
The studies measured index returns, not single stocks, and were descriptive rather than trading systems.
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.