Momentum · month-end rule · Sectors
12-1 Momentum on Utilities Select Sector ETF
What the play says
Latest reading: 12-1 return −1.1%
XLU 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 XLU over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.6% | +8.8% | +6.2% | +8.4% |
| Total return | +393% | +516% | +35% | +50% |
| Worst drawdown | −36.1% | −46.5% | −20.7% | −25.3% |
| Volatility | 15.7% | 18.6% | 15.3% | 17.4% |
| Sharpe ratio | 0.44 | 0.45 | 0.22 | 0.33 |
| Time invested | 82% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 17 of 27 closed calls (63%). In calls averaged +13.6%; out calls saw XLU move +1.9% on average.
| Called | Call | Price | Until | XLU moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | $39.44 | now | +6.2% | open |
| May 31, 2024 | IN | $33.84 | Sep 30, 2026 | +16.6% | ✓ right |
| Mar 31, 2023 | OUT | $30.45 | May 31, 2024 | +11.1% | ✕ wrong |
| Feb 26, 2021 | IN | $24.55 | Mar 31, 2023 | +24.1% | ✓ right |
| Dec 31, 2020 | OUT | $26.37 | Feb 26, 2021 | −6.9% | ✓ right |
| Nov 30, 2020 | IN | $26.21 | Dec 31, 2020 | +0.6% | ✓ right |
| Sep 30, 2020 | OUT | $24.77 | Nov 30, 2020 | +5.8% | ✕ wrong |
| Aug 31, 2020 | IN | $24.50 | Sep 30, 2020 | +1.1% | ✓ right |
| Jul 31, 2020 | OUT | $25.15 | Aug 31, 2020 | −2.6% | ✓ right |
| May 29, 2020 | IN | $24.48 | Jul 31, 2020 | +2.8% | ✓ right |
| Apr 30, 2020 | OUT | $23.48 | May 29, 2020 | +4.2% | ✕ wrong |
| Dec 31, 2018 | IN | $20.83 | Apr 30, 2020 | +12.7% | ✓ 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 28 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.