Momentum · month-end rule · Sectors
12-1 Momentum on Consumer Discretionary Select Sector ETF
What the play says
Latest reading: 12-1 return −2.1%
XLY 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 XLY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.4% | +10.5% | +2.9% | +5.0% |
| Total return | +759% | +768% | +15% | +27% |
| Worst drawdown | −34.6% | −59.0% | −34.6% | −39.7% |
| Volatility | 17.3% | 21.9% | 20.3% | 24.1% |
| Sharpe ratio | 0.56 | 0.48 | 0.06 | 0.16 |
| Time invested | 81% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 12 of 21 closed calls (57%). In calls averaged +28.5%; out calls saw XLY move +1.1% on average.
| Called | Call | Price | Until | XLY moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | $108.84 | now | +3.2% | open |
| Jun 30, 2023 | IN | $82.67 | Sep 30, 2026 | +31.7% | ✓ right |
| May 31, 2022 | OUT | $74.33 | Jun 30, 2023 | +11.2% | ✕ wrong |
| May 29, 2020 | IN | $58.90 | May 31, 2022 | +26.2% | ✓ right |
| Apr 30, 2020 | OUT | $55.30 | May 29, 2020 | +6.5% | ✕ wrong |
| Feb 28, 2019 | IN | $51.33 | Apr 30, 2020 | +7.8% | ✓ right |
| Jan 31, 2019 | OUT | $50.66 | Feb 28, 2019 | +1.3% | ✕ wrong |
| Dec 30, 2016 | IN | $36.96 | Jan 31, 2019 | +37.1% | ✓ right |
| Nov 30, 2016 | OUT | $36.94 | Dec 30, 2016 | +0.0% | ✕ wrong |
| Aug 31, 2016 | IN | $36.22 | Nov 30, 2016 | +2.0% | ✓ right |
| Jul 29, 2016 | OUT | $36.70 | Aug 31, 2016 | −1.3% | ✓ right |
| Apr 29, 2016 | IN | $35.48 | Jul 29, 2016 | +3.4% | ✓ 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 22 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.