Momentum · month-end rule · Consumer & retail
12-1 Momentum on Airbnb
What the play says
Latest reading: 12-1 return 50.9%
ABNB 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 2022
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ABNB over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.8% | −0.9% | +1.8% | −0.9% |
| Total return | +9% | −4% | +9% | −4% |
| Worst drawdown | −38.4% | −55.8% | −38.4% | −55.8% |
| Volatility | 25.9% | 43.7% | 25.9% | 43.7% |
| Sharpe ratio | 0.04 | 0.11 | 0.04 | 0.11 |
| Time invested | 48% | 100% | ||
| Switches per year | 2.9 | 0 |
Every call, graded
Right on 7 of 14 closed calls (50%). In calls averaged −2.6%; out calls saw ABNB move +1.1% on average.
| Called | Call | Price | Until | ABNB moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | IN | $126.28 | now | +31.1% | open |
| Feb 27, 2026 | OUT | $135.11 | Mar 31, 2026 | −6.5% | ✓ right |
| Jan 30, 2026 | IN | $129.37 | Feb 27, 2026 | +4.4% | ✓ right |
| Oct 31, 2025 | OUT | $126.54 | Jan 30, 2026 | +2.2% | ✕ wrong |
| Aug 29, 2025 | IN | $130.53 | Oct 31, 2025 | −3.1% | ✕ wrong |
| Dec 31, 2024 | OUT | $131.41 | Aug 29, 2025 | −0.7% | ✓ right |
| Oct 31, 2024 | IN | $134.79 | Dec 31, 2024 | −2.5% | ✕ wrong |
| Sep 30, 2024 | OUT | $126.81 | Oct 31, 2024 | +6.3% | ✕ wrong |
| Aug 30, 2024 | IN | $117.31 | Sep 30, 2024 | +8.1% | ✓ right |
| Jul 31, 2024 | OUT | $139.56 | Aug 30, 2024 | −15.9% | ✓ right |
| Jun 30, 2023 | IN | $128.16 | Jul 31, 2024 | +8.9% | ✓ right |
| Jun 30, 2022 | OUT | $89.08 | Jun 30, 2023 | +43.9% | ✕ 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 15 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.