Momentum · month-end rule · Energy & power
12-1 Momentum on Baker Hughes
What the play says
Latest reading: 12-1 return 32.5%
BKR 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 BKR over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.3% | +4.7% | +10.6% | +19.4% |
| Total return | +64% | +172% | +65% | +141% |
| Worst drawdown | −71.9% | −83.6% | −46.5% | −46.5% |
| Volatility | 27.0% | 39.9% | 33.4% | 34.7% |
| Sharpe ratio | 0.15 | 0.27 | 0.36 | 0.57 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 15 of 32 closed calls (47%). In calls averaged +1.1%; out calls saw BKR move +6.2% on average.
| Called | Call | Price | Until | BKR moved | Result |
|---|---|---|---|---|---|
| Mar 28, 2024 | IN | $31.86 | now | +77.2% | open |
| Feb 29, 2024 | OUT | $28.14 | Mar 28, 2024 | +13.2% | ✕ wrong |
| Jul 31, 2023 | IN | $33.41 | Feb 29, 2024 | −15.8% | ✕ wrong |
| Mar 31, 2023 | OUT | $26.76 | Jul 31, 2023 | +24.9% | ✕ wrong |
| Nov 30, 2022 | IN | $26.75 | Mar 31, 2023 | +0.1% | ✓ right |
| Oct 31, 2022 | OUT | $25.32 | Nov 30, 2022 | +5.6% | ✕ wrong |
| Feb 26, 2021 | IN | $21.49 | Oct 31, 2022 | +17.8% | ✓ right |
| Feb 28, 2020 | OUT | $13.54 | Feb 26, 2021 | +58.7% | ✕ wrong |
| Dec 31, 2019 | IN | $21.39 | Feb 28, 2020 | −36.7% | ✕ wrong |
| Nov 30, 2018 | OUT | $18.46 | Dec 31, 2019 | +15.9% | ✕ wrong |
| Oct 31, 2018 | IN | $21.42 | Nov 30, 2018 | −13.8% | ✕ wrong |
| Sep 28, 2018 | OUT | $27.15 | Oct 31, 2018 | −21.1% | ✓ 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 33 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.