Momentum · month-end rule · Sectors
12-1 Momentum on Consumer Staples Select Sector ETF
What the play says
Latest reading: 12-1 return 10.7%
XLP 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 XLP over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.0% | +8.9% | +6.1% | +6.5% |
| Total return | +434% | +534% | +34% | +37% |
| Worst drawdown | −24.5% | −32.4% | −16.4% | −16.3% |
| Volatility | 13.1% | 14.2% | 13.0% | 13.7% |
| Sharpe ratio | 0.52 | 0.55 | 0.23 | 0.25 |
| Time invested | 89% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 10 of 18 closed calls (56%). In calls averaged +24.7%; out calls saw XLP move +2.5% on average.
| Called | Call | Price | Until | XLP moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | $76.21 | now | +10.5% | open |
| Nov 28, 2025 | OUT | $77.25 | Dec 31, 2025 | −1.3% | ✓ right |
| Oct 31, 2025 | IN | $74.24 | Nov 28, 2025 | +4.1% | ✓ right |
| Aug 29, 2025 | OUT | $78.09 | Oct 31, 2025 | −4.9% | ✓ right |
| Jan 31, 2024 | IN | $67.74 | Aug 29, 2025 | +15.3% | ✓ right |
| Oct 31, 2023 | OUT | $62.56 | Jan 31, 2024 | +8.3% | ✕ wrong |
| May 31, 2023 | IN | $66.08 | Oct 31, 2023 | −5.3% | ✕ wrong |
| Mar 31, 2023 | OUT | $67.93 | May 31, 2023 | −2.7% | ✓ right |
| Nov 30, 2022 | IN | $69.35 | Mar 31, 2023 | −2.1% | ✕ wrong |
| Oct 31, 2022 | OUT | $65.35 | Nov 30, 2022 | +6.1% | ✕ wrong |
| May 29, 2020 | IN | $49.85 | Oct 31, 2022 | +31.1% | ✓ right |
| Apr 30, 2020 | OUT | $49.03 | May 29, 2020 | +1.7% | ✕ 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 19 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.