Momentum · month-end rule · Indexes & ETFs
12-1 Momentum on 20+ Year Treasury ETF
What the play says
Latest reading: 12-1 return −3.8%
TLT 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 TLT over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.7% | +2.6% | −2.1% | −8.4% |
| Total return | +45% | +74% | −10% | −36% |
| Worst drawdown | −31.3% | −48.4% | −19.0% | −43.7% |
| Volatility | 11.5% | 14.5% | 7.0% | 15.7% |
| Sharpe ratio | 0.05 | 0.13 | −0.81 | −0.73 |
| Time invested | 62% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 14 of 31 closed calls (45%). In calls averaged +1.6%; out calls saw TLT move +3.1% on average.
| Called | Call | Price | Until | TLT moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | $81.88 | now | −4.3% | open |
| Mar 31, 2026 | IN | $84.37 | Aug 31, 2026 | −3.0% | ✕ wrong |
| Feb 27, 2026 | OUT | $88.09 | Mar 31, 2026 | −4.2% | ✓ right |
| Dec 31, 2025 | IN | $84.22 | Feb 27, 2026 | +4.6% | ✓ right |
| Nov 28, 2025 | OUT | $86.52 | Dec 31, 2025 | −2.7% | ✓ right |
| Oct 31, 2025 | IN | $86.29 | Nov 28, 2025 | +0.3% | ✓ right |
| Jun 30, 2025 | OUT | $83.10 | Oct 31, 2025 | +3.8% | ✕ wrong |
| Mar 31, 2025 | IN | $84.78 | Jun 30, 2025 | −2.0% | ✕ wrong |
| Dec 31, 2024 | OUT | $80.79 | Mar 31, 2025 | +4.9% | ✕ wrong |
| Aug 30, 2024 | IN | $87.74 | Dec 31, 2024 | −7.9% | ✕ wrong |
| Apr 29, 2022 | OUT | $100.65 | Aug 30, 2024 | −12.8% | ✓ right |
| Feb 28, 2022 | IN | $117.52 | Apr 29, 2022 | −14.4% | ✕ 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 32 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.