Momentum · month-end rule · Sectors
12-1 Momentum on Energy Select Sector ETF
What the play says
Latest reading: 12-1 return 46.4%
XLE 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 XLE over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.5% | +9.0% | +24.5% | +23.4% |
| Total return | +383% | +551% | +197% | +184% |
| Worst drawdown | −54.5% | −71.3% | −26.0% | −26.0% |
| Volatility | 22.2% | 29.7% | 23.4% | 25.5% |
| Sharpe ratio | 0.36 | 0.38 | 0.89 | 0.80 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 14 of 28 closed calls (50%). In calls averaged +11.0%; out calls saw XLE move +2.9% on average.
| Called | Call | Price | Until | XLE moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | $43.84 | now | +53.3% | open |
| Nov 28, 2025 | OUT | $43.97 | Dec 31, 2025 | −0.3% | ✓ right |
| Sep 30, 2025 | IN | $43.43 | Nov 28, 2025 | +1.2% | ✓ right |
| May 30, 2025 | OUT | $38.98 | Sep 30, 2025 | +11.4% | ✕ wrong |
| Apr 30, 2025 | IN | $38.49 | May 30, 2025 | +1.3% | ✓ right |
| Mar 31, 2025 | OUT | $44.68 | Apr 30, 2025 | −13.9% | ✓ right |
| Feb 29, 2024 | IN | $39.56 | Mar 31, 2025 | +13.0% | ✓ right |
| Nov 30, 2023 | OUT | $38.47 | Feb 29, 2024 | +2.8% | ✕ wrong |
| Mar 31, 2021 | IN | $20.12 | Nov 30, 2023 | +91.2% | ✓ right |
| Feb 28, 2020 | OUT | $17.23 | Mar 31, 2021 | +16.8% | ✕ wrong |
| Dec 31, 2019 | IN | $22.85 | Feb 28, 2020 | −24.6% | ✕ wrong |
| Nov 30, 2018 | OUT | $23.35 | Dec 31, 2019 | −2.2% | ✓ 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 29 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.