Momentum · month-end rule · Industrials & rentals
12-1 Momentum on Avis Budget
What the play says
Latest reading: 12-1 return −8.1%
CAR 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 CAR over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.3% | +5.5% | +0.2% | −5.5% |
| Total return | +274% | +219% | +1% | −24% |
| Worst drawdown | −80.8% | −99.0% | −80.8% | −85.5% |
| Volatility | 48.6% | 78.0% | 76.5% | 86.9% |
| Sharpe ratio | 0.32 | 0.41 | 0.29 | 0.29 |
| Time invested | 54% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 11 of 35 closed calls (31%). In calls averaged +37.5%; out calls saw CAR move +3.6% on average.
| Called | Call | Price | Until | CAR moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | OUT | $137.44 | now | −21.7% | open |
| Jun 30, 2025 | IN | $169.05 | Jul 31, 2026 | −18.7% | ✕ wrong |
| Jan 31, 2024 | OUT | $163.71 | Jun 30, 2025 | +3.3% | ✕ wrong |
| Dec 29, 2023 | IN | $177.26 | Jan 31, 2024 | −7.6% | ✕ wrong |
| Oct 31, 2023 | OUT | $154.68 | Dec 29, 2023 | +14.6% | ✕ wrong |
| Jun 30, 2023 | IN | $217.26 | Oct 31, 2023 | −28.8% | ✕ wrong |
| Mar 31, 2023 | OUT | $185.08 | Jun 30, 2023 | +17.4% | ✕ wrong |
| Feb 28, 2023 | IN | $208.70 | Mar 31, 2023 | −11.3% | ✕ wrong |
| Jan 31, 2023 | OUT | $190.06 | Feb 28, 2023 | +9.8% | ✕ wrong |
| Dec 30, 2022 | IN | $155.75 | Jan 31, 2023 | +22.0% | ✓ right |
| Oct 31, 2022 | OUT | $224.66 | Dec 30, 2022 | −30.7% | ✓ right |
| Nov 30, 2020 | IN | $33.42 | Oct 31, 2022 | +572.3% | ✓ 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 36 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.