Momentum · month-end rule · Sectors
12-1 Momentum on Industrial Select Sector ETF
What the play says
Latest reading: 12-1 return 14.5%
XLI 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 XLI over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.5% | +10.3% | +10.4% | +12.8% |
| Total return | +487% | +738% | +64% | +82% |
| Worst drawdown | −42.3% | −62.3% | −18.5% | −21.6% |
| Volatility | 16.4% | 20.8% | 15.3% | 17.6% |
| Sharpe ratio | 0.47 | 0.49 | 0.48 | 0.55 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 15 of 28 closed calls (54%). In calls averaged +11.2%; out calls saw XLI move +3.5% on average.
| Called | Call | Price | Until | XLI moved | Result |
|---|---|---|---|---|---|
| Dec 29, 2023 | IN | $109.92 | now | +53.4% | open |
| Nov 30, 2023 | OUT | $102.67 | Dec 29, 2023 | +7.1% | ✕ wrong |
| Apr 28, 2023 | IN | $95.13 | Nov 30, 2023 | +7.9% | ✓ right |
| Mar 31, 2023 | OUT | $96.26 | Apr 28, 2023 | −1.2% | ✓ right |
| Feb 28, 2023 | IN | $95.66 | Mar 31, 2023 | +0.6% | ✓ right |
| May 31, 2022 | OUT | $88.48 | Feb 28, 2023 | +8.1% | ✕ wrong |
| Dec 31, 2020 | IN | $81.38 | May 31, 2022 | +8.7% | ✓ right |
| Nov 30, 2020 | OUT | $80.57 | Dec 31, 2020 | +1.0% | ✕ wrong |
| Sep 30, 2020 | IN | $70.46 | Nov 30, 2020 | +14.4% | ✓ right |
| Mar 31, 2020 | OUT | $53.56 | Sep 30, 2020 | +31.5% | ✕ wrong |
| Oct 31, 2019 | IN | $70.36 | Mar 31, 2020 | −23.9% | ✕ wrong |
| Sep 30, 2019 | OUT | $69.57 | Oct 31, 2019 | +1.1% | ✕ 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 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.