Momentum · month-end rule · Sectors
12-1 Momentum on Health Care Select Sector ETF
What the play says
Latest reading: 12-1 return 24.1%
XLV 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 XLV over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.5% | +10.3% | +1.3% | +8.0% |
| Total return | +380% | +730% | +6% | +47% |
| Worst drawdown | −28.4% | −39.2% | −22.4% | −17.1% |
| Volatility | 14.1% | 16.7% | 13.0% | 15.2% |
| Sharpe ratio | 0.46 | 0.56 | −0.13 | 0.33 |
| Time invested | 79% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 10 of 33 closed calls (30%). In calls averaged +13.1%; out calls saw XLV move +3.9% on average.
| Called | Call | Price | Until | XLV moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | $152.90 | now | +11.0% | open |
| May 30, 2025 | OUT | $129.25 | Dec 31, 2025 | +18.3% | ✕ wrong |
| Feb 28, 2025 | IN | $144.56 | May 30, 2025 | −10.6% | ✕ wrong |
| Jan 31, 2025 | OUT | $142.56 | Feb 28, 2025 | +1.4% | ✕ wrong |
| Jan 31, 2024 | IN | $134.13 | Jan 31, 2025 | +6.3% | ✓ right |
| Oct 31, 2023 | OUT | $118.47 | Jan 31, 2024 | +13.2% | ✕ wrong |
| Apr 28, 2023 | IN | $125.98 | Oct 31, 2023 | −6.0% | ✕ wrong |
| Mar 31, 2023 | OUT | $122.14 | Apr 28, 2023 | +3.1% | ✕ wrong |
| Jan 31, 2023 | IN | $125.33 | Mar 31, 2023 | −2.5% | ✕ wrong |
| Dec 30, 2022 | OUT | $127.67 | Jan 31, 2023 | −1.8% | ✓ right |
| Nov 30, 2022 | IN | $130.12 | Dec 30, 2022 | −1.9% | ✕ wrong |
| Jul 29, 2022 | OUT | $123.43 | Nov 30, 2022 | +5.4% | ✕ 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 34 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.