Momentum · month-end rule · Big tech
12-1 Momentum on Amazon
What the play says
Latest reading: 12-1 return 18.3%
AMZN 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 AMZN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +21.8% | +24.8% | +16.6% | +9.6% |
| Total return | +7,054% | +12,074% | +115% | +57% |
| Worst drawdown | −52.6% | −65.3% | −30.9% | −55.7% |
| Volatility | 31.3% | 37.6% | 27.3% | 36.5% |
| Sharpe ratio | 0.73 | 0.73 | 0.56 | 0.33 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 11 of 23 closed calls (48%). In calls averaged +69.0%; out calls saw AMZN move +6.6% on average.
| Called | Call | Price | Until | AMZN moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | IN | $210.00 | now | +23.1% | open |
| Jan 30, 2026 | OUT | $239.30 | Feb 27, 2026 | −12.2% | ✓ right |
| Aug 31, 2023 | IN | $138.01 | Jan 30, 2026 | +73.4% | ✓ right |
| Jul 31, 2023 | OUT | $133.68 | Aug 31, 2023 | +3.2% | ✕ wrong |
| Jun 30, 2023 | IN | $130.36 | Jul 31, 2023 | +2.5% | ✓ right |
| Feb 28, 2022 | OUT | $153.56 | Jun 30, 2023 | −15.1% | ✓ right |
| Sep 30, 2021 | IN | $164.25 | Feb 28, 2022 | −6.5% | ✕ wrong |
| Aug 31, 2021 | OUT | $173.54 | Sep 30, 2021 | −5.4% | ✓ right |
| Oct 31, 2019 | IN | $88.83 | Aug 31, 2021 | +95.4% | ✓ right |
| Aug 30, 2019 | OUT | $88.81 | Oct 31, 2019 | +0.0% | ✕ wrong |
| Mar 31, 2015 | IN | $18.61 | Aug 30, 2019 | +377.4% | ✓ right |
| Oct 31, 2014 | OUT | $15.27 | Mar 31, 2015 | +21.8% | ✕ 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 24 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.