Momentum · month-end rule · Software & devices
12-1 Momentum on Adobe
What the play says
Latest reading: 12-1 return −17.0%
ADBE 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 ADBE over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.6% | +10.2% | −1.0% | −16.8% |
| Total return | +1,198% | +716% | −5% | −60% |
| Worst drawdown | −57.7% | −71.9% | −40.2% | −71.9% |
| Volatility | 25.7% | 34.5% | 21.1% | 38.0% |
| Sharpe ratio | 0.52 | 0.40 | −0.12 | −0.39 |
| Time invested | 70% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 10 of 19 closed calls (53%). In calls averaged +136.1%; out calls saw ADBE move +5.1% on average.
| Called | Call | Price | Until | ADBE moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2024 | OUT | $478.08 | now | −50.6% | open |
| Sep 30, 2024 | IN | $517.78 | Oct 31, 2024 | −7.7% | ✕ wrong |
| Aug 30, 2024 | OUT | $574.41 | Sep 30, 2024 | −9.9% | ✓ right |
| Jul 31, 2024 | IN | $551.65 | Aug 30, 2024 | +4.1% | ✓ right |
| Jun 28, 2024 | OUT | $555.54 | Jul 31, 2024 | −0.7% | ✓ right |
| Jun 30, 2023 | IN | $488.99 | Jun 28, 2024 | +13.6% | ✓ right |
| Mar 31, 2022 | OUT | $455.62 | Jun 30, 2023 | +7.3% | ✕ wrong |
| Jul 31, 2012 | IN | $30.88 | Mar 31, 2022 | +1,375.5% | ✓ right |
| May 31, 2012 | OUT | $31.05 | Jul 31, 2012 | −0.5% | ✓ right |
| Apr 30, 2012 | IN | $33.55 | May 31, 2012 | −7.5% | ✕ wrong |
| Dec 30, 2011 | OUT | $28.27 | Apr 30, 2012 | +18.7% | ✕ wrong |
| Nov 30, 2011 | IN | $27.42 | Dec 30, 2011 | +3.1% | ✓ 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 20 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.