Momentum · month-end rule · Sectors
12-1 Momentum on Materials Select Sector ETF
What the play says
Latest reading: 12-1 return 19.2%
XLB 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 XLB over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.1% | +8.2% | +6.3% | +6.1% |
| Total return | +264% | +449% | +36% | +34% |
| Worst drawdown | −37.1% | −59.8% | −14.3% | −24.7% |
| Volatility | 17.7% | 23.2% | 13.9% | 19.1% |
| Sharpe ratio | 0.33 | 0.38 | 0.24 | 0.21 |
| Time invested | 73% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 17 of 32 closed calls (53%). In calls averaged +8.1%; out calls saw XLB move +3.5% on average.
| Called | Call | Price | Until | XLB moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | $44.77 | now | +11.0% | open |
| Mar 31, 2025 | OUT | $41.81 | Dec 31, 2025 | +7.1% | ✕ wrong |
| Dec 29, 2023 | IN | $40.66 | Mar 31, 2025 | +2.8% | ✓ right |
| Nov 30, 2023 | OUT | $38.91 | Dec 29, 2023 | +4.5% | ✕ wrong |
| Jun 30, 2023 | IN | $38.93 | Nov 30, 2023 | −0.1% | ✕ wrong |
| Mar 31, 2023 | OUT | $37.71 | Jun 30, 2023 | +3.2% | ✕ wrong |
| Feb 28, 2023 | IN | $38.09 | Mar 31, 2023 | −1.0% | ✕ wrong |
| Jul 29, 2022 | OUT | $35.93 | Feb 28, 2023 | +6.0% | ✕ wrong |
| Jun 30, 2022 | IN | $33.85 | Jul 29, 2022 | +6.2% | ✓ right |
| May 31, 2022 | OUT | $39.29 | Jun 30, 2022 | −13.9% | ✓ right |
| Aug 31, 2020 | IN | $27.88 | May 31, 2022 | +40.9% | ✓ right |
| Jun 30, 2020 | OUT | $24.94 | Aug 31, 2020 | +11.8% | ✕ 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 33 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.