Momentum · month-end rule · Software & devices
12-1 Momentum on Autodesk
What the play says
Latest reading: 12-1 return −18.6%
ADSK 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 ADSK over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.3% | +10.1% | −1.5% | −4.1% |
| Total return | +364% | +697% | −7% | −19% |
| Worst drawdown | −52.2% | −76.9% | −39.6% | −50.8% |
| Volatility | 28.9% | 37.8% | 21.9% | 36.3% |
| Sharpe ratio | 0.33 | 0.40 | −0.13 | −0.04 |
| Time invested | 69% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 19 of 35 closed calls (54%). In calls averaged +12.3%; out calls saw ADSK move +5.2% on average.
| Called | Call | Price | Until | ADSK moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | OUT | $252.87 | now | −8.9% | open |
| Jul 31, 2024 | IN | $247.52 | Jan 30, 2026 | +2.2% | ✓ right |
| Jun 28, 2024 | OUT | $247.45 | Jul 31, 2024 | +0.0% | ✕ wrong |
| Dec 29, 2023 | IN | $243.48 | Jun 28, 2024 | +1.6% | ✓ right |
| Oct 31, 2023 | OUT | $197.63 | Dec 29, 2023 | +23.2% | ✕ wrong |
| Aug 31, 2023 | IN | $221.94 | Oct 31, 2023 | −11.0% | ✕ wrong |
| Jul 31, 2023 | OUT | $211.99 | Aug 31, 2023 | +4.7% | ✕ wrong |
| Jun 30, 2023 | IN | $204.61 | Jul 31, 2023 | +3.6% | ✓ right |
| May 31, 2023 | OUT | $199.39 | Jun 30, 2023 | +2.6% | ✕ wrong |
| Apr 28, 2023 | IN | $194.79 | May 31, 2023 | +2.4% | ✓ right |
| Feb 28, 2022 | OUT | $220.23 | Apr 28, 2023 | −11.6% | ✓ right |
| Jan 31, 2022 | IN | $249.79 | Feb 28, 2022 | −11.8% | ✕ 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 36 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.