Momentum · month-end rule · Indexes & ETFs
12-1 Momentum on S&P 500 ETF
What the play says
Latest reading: 12-1 return 16.1%
SPY with the play, last two years
Shading shows the play's call from the close that triggered it.
Return from 12 months to 1 month ago
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 | +11.3% | +11.1% | +14.1% | +13.9% |
| Total return | +907% | +872% | +93% | +91% |
| Worst drawdown | −33.7% | −55.2% | −18.8% | −24.5% |
| Volatility | 14.9% | 18.9% | 14.5% | 17.1% |
| Sharpe ratio | 0.67 | 0.56 | 0.72 | 0.62 |
| Time invested | 85% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 10 of 18 closed calls (56%). In calls averaged +21.3%; out calls saw SPY move +0.3% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Apr 28, 2023 | IN | $398.24 | now | +95.4% | open |
| May 31, 2022 | OUT | $388.77 | Apr 28, 2023 | +2.4% | ✕ wrong |
| May 29, 2020 | IN | $278.33 | May 31, 2022 | +39.7% | ✓ right |
| Apr 30, 2020 | OUT | $265.68 | May 29, 2020 | +4.8% | ✕ wrong |
| Feb 28, 2019 | IN | $248.68 | Apr 30, 2020 | +6.8% | ✓ right |
| Jan 31, 2019 | OUT | $240.88 | Feb 28, 2019 | +3.2% | ✕ wrong |
| Jun 30, 2016 | IN | $178.00 | Jan 31, 2019 | +35.3% | ✓ right |
| May 31, 2016 | OUT | $177.38 | Jun 30, 2016 | +0.3% | ✕ wrong |
| Apr 29, 2016 | IN | $174.41 | May 31, 2016 | +1.7% | ✓ right |
| Feb 29, 2016 | OUT | $162.78 | Apr 29, 2016 | +7.1% | ✕ wrong |
| Nov 30, 2015 | IN | $174.46 | Feb 29, 2016 | −6.7% | ✕ wrong |
| Oct 30, 2015 | OUT | $173.83 | Nov 30, 2015 | +0.4% | ✕ 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 19 calls shown.
How the play works
- In at month-end when the return from 12 months ago to 1 month ago is above zero.
- Out when it is zero or below.
Jegadeesh and Titman ranked thousands of stocks and bought the winners. Testing one stock against zero is time-series momentum, a related idea.
The skip-a-month form came later; their 1993 paper skipped at most a week.
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.