Momentum · month-end rule · Healthcare
12-1 Momentum on Boston Scientific
What the play says
Latest reading: 12-1 return −50.5%
BSX 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 BSX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.4% | +1.0% | +16.2% | +0.7% |
| Total return | +604% | +24% | +111% | +4% |
| Worst drawdown | −46.0% | −85.7% | −18.7% | −61.5% |
| Volatility | 20.1% | 32.4% | 19.3% | 26.6% |
| Sharpe ratio | 0.46 | 0.14 | 0.68 | 0.02 |
| Time invested | 57% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 9 of 18 closed calls (50%). In calls averaged +29.0%; out calls saw BSX move −0.5% on average.
| Called | Call | Price | Until | BSX moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | OUT | $93.53 | now | −53.7% | open |
| Nov 30, 2022 | IN | $45.27 | Jan 30, 2026 | +106.6% | ✓ right |
| May 31, 2022 | OUT | $41.01 | Nov 30, 2022 | +10.4% | ✕ wrong |
| Mar 31, 2021 | IN | $38.65 | May 31, 2022 | +6.1% | ✓ right |
| Oct 30, 2020 | OUT | $34.27 | Mar 31, 2021 | +12.8% | ✕ wrong |
| Sep 30, 2020 | IN | $38.21 | Oct 30, 2020 | −10.3% | ✕ wrong |
| Mar 31, 2020 | OUT | $32.63 | Sep 30, 2020 | +17.1% | ✕ wrong |
| Apr 29, 2016 | IN | $21.92 | Mar 31, 2020 | +48.9% | ✓ right |
| Mar 31, 2016 | OUT | $18.81 | Apr 29, 2016 | +16.5% | ✕ wrong |
| Feb 27, 2015 | IN | $16.90 | Mar 31, 2016 | +11.3% | ✓ right |
| Jan 30, 2015 | OUT | $14.81 | Feb 27, 2015 | +14.1% | ✕ wrong |
| Feb 28, 2013 | IN | $7.39 | Jan 30, 2015 | +100.4% | ✓ 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 19 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.