Momentum · month-end rule · Industrials & materials
12-1 Momentum on Axon Enterprise
What the play says
Latest reading: 12-1 return −21.1%
AXON 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 AXON over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.9% | +15.7% | +21.9% | +18.6% |
| Total return | +669% | +2,253% | +168% | +134% |
| Worst drawdown | −86.3% | −85.8% | −46.5% | −60.3% |
| Volatility | 40.3% | 53.8% | 37.5% | 50.5% |
| Sharpe ratio | 0.39 | 0.50 | 0.61 | 0.51 |
| Time invested | 64% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 13 of 31 closed calls (42%). In calls averaged +35.4%; out calls saw AXON move +11.5% on average.
| Called | Call | Price | Until | AXON moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | $401.76 | now | +2.9% | open |
| Mar 31, 2026 | IN | $424.69 | Apr 30, 2026 | −5.4% | ✕ wrong |
| Dec 31, 2025 | OUT | $567.93 | Mar 31, 2026 | −25.2% | ✓ right |
| Dec 30, 2022 | IN | $165.93 | Dec 31, 2025 | +242.3% | ✓ right |
| Jan 31, 2022 | OUT | $139.93 | Dec 30, 2022 | +18.6% | ✕ wrong |
| Nov 29, 2019 | IN | $73.80 | Jan 31, 2022 | +89.6% | ✓ right |
| Sep 30, 2019 | OUT | $56.78 | Nov 29, 2019 | +30.0% | ✕ wrong |
| Aug 30, 2019 | IN | $59.97 | Sep 30, 2019 | −5.3% | ✕ wrong |
| Jul 31, 2019 | OUT | $70.22 | Aug 30, 2019 | −14.6% | ✓ right |
| Jun 28, 2019 | IN | $64.21 | Jul 31, 2019 | +9.4% | ✓ right |
| May 31, 2019 | OUT | $66.78 | Jun 28, 2019 | −3.8% | ✓ right |
| Dec 29, 2017 | IN | $26.50 | May 31, 2019 | +152.0% | ✓ 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 32 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.