Momentum · month-end rule · Sectors
12-1 Momentum on Communication Services Select Sector ETF
What the play says
Latest reading: 12-1 return −5.0%
XLC 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 2019
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding XLC over exactly the same dates, after costs.
| Play, since 2019 | Hold, since 2019 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +13.4% | +13.0% | +11.0% | +8.4% |
| Total return | +150% | +143% | +68% | +49% |
| Worst drawdown | −30.1% | −46.7% | −22.4% | −44.2% |
| Volatility | 18.7% | 22.3% | 15.3% | 21.0% |
| Sharpe ratio | 0.62 | 0.54 | 0.51 | 0.31 |
| Time invested | 80% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 3 of 6 closed calls (50%). In calls averaged +38.2%; out calls saw XLC move +0.7% on average.
| Called | Call | Price | Until | XLC moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | $111.09 | now | +1.1% | open |
| May 31, 2023 | IN | $59.88 | Aug 31, 2026 | +85.5% | ✓ right |
| Mar 31, 2022 | OUT | $65.53 | May 31, 2023 | −8.6% | ✓ right |
| May 29, 2020 | IN | $50.67 | Mar 31, 2022 | +29.3% | ✓ right |
| Apr 30, 2020 | OUT | $47.16 | May 29, 2020 | +7.4% | ✕ wrong |
| Jul 31, 2019 | IN | $47.28 | Apr 30, 2020 | −0.3% | ✕ wrong |
| Jun 28, 2019 | OUT | $45.83 | Jul 31, 2019 | +3.2% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 7 of 7 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.