Momentum · month-end rule · Consumer & retail
12-1 Momentum on Booking Holdings
What the play says
Latest reading: 12-1 return −7.2%
BKNG 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 BKNG over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.2% | +27.1% | +12.5% | +10.4% |
| Total return | +2,052% | +17,896% | +80% | +64% |
| Worst drawdown | −64.7% | −66.3% | −34.2% | −39.5% |
| Volatility | 31.6% | 38.0% | 25.8% | 33.2% |
| Sharpe ratio | 0.55 | 0.77 | 0.44 | 0.35 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 12 of 33 closed calls (36%). In calls averaged +33.7%; out calls saw BKNG move +21.2% on average.
| Called | Call | Price | Until | BKNG moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | OUT | $167.59 | now | −6.0% | open |
| Jan 30, 2026 | IN | $198.64 | Mar 31, 2026 | −15.6% | ✕ wrong |
| Nov 28, 2025 | OUT | $194.80 | Jan 30, 2026 | +2.0% | ✕ wrong |
| Feb 28, 2023 | IN | $98.62 | Nov 28, 2025 | +97.5% | ✓ right |
| Jul 29, 2022 | OUT | $75.63 | Feb 28, 2023 | +30.4% | ✕ wrong |
| Jun 30, 2022 | IN | $68.34 | Jul 29, 2022 | +10.7% | ✓ right |
| Mar 31, 2022 | OUT | $91.76 | Jun 30, 2022 | −25.5% | ✓ right |
| Jan 31, 2022 | IN | $95.97 | Mar 31, 2022 | −4.4% | ✕ wrong |
| Dec 31, 2021 | OUT | $93.75 | Jan 31, 2022 | +2.4% | ✕ wrong |
| Jan 29, 2021 | IN | $75.97 | Dec 31, 2021 | +23.4% | ✓ right |
| Mar 31, 2020 | OUT | $52.57 | Jan 29, 2021 | +44.5% | ✕ wrong |
| Oct 31, 2019 | IN | $80.05 | Mar 31, 2020 | −34.3% | ✕ 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 34 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.