Momentum · month-end rule · Big tech
12-1 Momentum on Apple
What the play says
Latest reading: 12-1 return 24.9%
AAPL 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 AAPL over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +19.8% | +30.0% | +10.9% | +20.1% |
| Total return | +4,905% | +29,334% | +67% | +148% |
| Worst drawdown | −55.6% | −60.9% | −33.4% | −33.4% |
| Volatility | 29.2% | 31.9% | 25.1% | 28.0% |
| Sharpe ratio | 0.70 | 0.93 | 0.39 | 0.66 |
| Time invested | 81% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 8 of 20 closed calls (40%). In calls averaged +57.0%; out calls saw AAPL move +21.3% on average.
| Called | Call | Price | Until | AAPL moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | $253.69 | now | +34.5% | open |
| Jun 30, 2025 | OUT | $204.18 | Sep 30, 2025 | +24.2% | ✕ wrong |
| Jul 31, 2024 | IN | $219.98 | Jun 30, 2025 | −7.2% | ✕ wrong |
| May 31, 2024 | OUT | $190.44 | Jul 31, 2024 | +15.5% | ✕ wrong |
| Apr 28, 2023 | IN | $166.96 | May 31, 2024 | +14.1% | ✓ right |
| Oct 31, 2022 | OUT | $150.40 | Apr 28, 2023 | +11.0% | ✕ wrong |
| Aug 31, 2022 | IN | $154.21 | Oct 31, 2022 | −2.5% | ✕ wrong |
| Jul 29, 2022 | OUT | $159.18 | Aug 31, 2022 | −3.1% | ✓ right |
| Oct 31, 2019 | IN | $59.68 | Jul 29, 2022 | +166.7% | ✓ right |
| Aug 30, 2019 | OUT | $50.08 | Oct 31, 2019 | +19.2% | ✕ wrong |
| Jul 31, 2019 | IN | $50.92 | Aug 30, 2019 | −1.6% | ✕ wrong |
| Jun 28, 2019 | OUT | $47.30 | Jul 31, 2019 | +7.6% | ✕ 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 21 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.