Momentum · month-end rule · Sectors
12-1 Momentum on Real Estate Select Sector ETF
What the play says
Latest reading: 12-1 return 7.5%
XLRE 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 2016
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding XLRE over exactly the same dates, after costs.
| Play, since 2016 | Hold, since 2016 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.3% | +6.9% | +5.8% | +1.7% |
| Total return | +121% | +95% | +33% | +9% |
| Worst drawdown | −38.8% | −38.8% | −24.6% | −34.1% |
| Volatility | 17.0% | 20.4% | 14.9% | 19.2% |
| Sharpe ratio | 0.41 | 0.31 | 0.20 | −0.01 |
| Time invested | 70% | 100% | ||
| Switches per year | 2.2 | 0 |
Every call, graded
Right on 16 of 22 closed calls (73%). In calls averaged +6.5%; out calls saw XLRE move +0.0% on average.
| Called | Call | Price | Until | XLRE moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | IN | $40.14 | now | +4.2% | open |
| Feb 27, 2026 | OUT | $42.81 | Mar 31, 2026 | −6.2% | ✓ right |
| Dec 31, 2025 | IN | $39.40 | Feb 27, 2026 | +8.6% | ✓ right |
| Nov 28, 2025 | OUT | $40.25 | Dec 31, 2025 | −2.1% | ✓ right |
| Oct 31, 2025 | IN | $39.51 | Nov 28, 2025 | +1.9% | ✓ right |
| Aug 29, 2025 | OUT | $40.56 | Oct 31, 2025 | −2.6% | ✓ right |
| Dec 29, 2023 | IN | $36.53 | Aug 29, 2025 | +11.0% | ✓ right |
| Oct 31, 2023 | OUT | $29.87 | Dec 29, 2023 | +22.3% | ✕ wrong |
| Sep 29, 2023 | IN | $30.74 | Oct 31, 2023 | −2.8% | ✕ wrong |
| Jul 29, 2022 | OUT | $38.25 | Sep 29, 2023 | −19.6% | ✓ right |
| Feb 26, 2021 | IN | $30.82 | Jul 29, 2022 | +24.1% | ✓ right |
| Apr 30, 2020 | OUT | $27.26 | Feb 26, 2021 | +13.0% | ✕ 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 23 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.