Momentum · month-end rule · Industrials & materials
12-1 Momentum on ADP
What the play says
Latest reading: 12-1 return −0.3%
ADP 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 ADP over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.9% | +12.7% | +4.3% | +8.5% |
| Total return | +677% | +1,228% | +23% | +50% |
| Worst drawdown | −39.5% | −40.8% | −23.0% | −40.8% |
| Volatility | 18.5% | 22.7% | 19.2% | 22.9% |
| Sharpe ratio | 0.51 | 0.56 | 0.12 | 0.31 |
| Time invested | 82% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 9 of 17 closed calls (53%). In calls averaged +33.8%; out calls saw ADP move +6.7% on average.
| Called | Call | Price | Until | ADP moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | OUT | $248.10 | now | +11.2% | open |
| Aug 30, 2024 | IN | $261.33 | Nov 28, 2025 | −5.1% | ✕ wrong |
| Jul 31, 2024 | OUT | $248.74 | Aug 30, 2024 | +5.1% | ✕ wrong |
| Jan 31, 2024 | IN | $230.13 | Jul 31, 2024 | +8.1% | ✓ right |
| Nov 30, 2023 | OUT | $213.98 | Jan 31, 2024 | +7.5% | ✕ wrong |
| Aug 31, 2023 | IN | $235.78 | Nov 30, 2023 | −9.2% | ✕ wrong |
| Jul 31, 2023 | OUT | $228.97 | Aug 31, 2023 | +3.0% | ✕ wrong |
| Apr 28, 2023 | IN | $202.55 | Jul 31, 2023 | +13.0% | ✓ right |
| Mar 31, 2023 | OUT | $204.97 | Apr 28, 2023 | −1.2% | ✓ right |
| Dec 31, 2020 | IN | $155.35 | Mar 31, 2023 | +31.9% | ✓ right |
| Mar 31, 2020 | OUT | $118.37 | Dec 31, 2020 | +31.2% | ✕ wrong |
| Mar 31, 2016 | IN | $71.20 | Mar 31, 2020 | +66.3% | ✓ 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 18 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.