Momentum · month-end rule · Industrials & rentals
12-1 Momentum on Carrier Global
What the play says
Latest reading: 12-1 return −1.0%
CARR 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 2021
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CARR over exactly the same dates, after costs.
| Play, since 2021 | Hold, since 2021 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.3% | +6.5% | +8.3% | +3.1% |
| Total return | +81% | +41% | +49% | +16% |
| Worst drawdown | −35.4% | −40.8% | −34.2% | −39.7% |
| Volatility | 25.3% | 31.6% | 25.5% | 32.3% |
| Sharpe ratio | 0.42 | 0.25 | 0.29 | 0.14 |
| Time invested | 67% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 6 of 11 closed calls (55%). In calls averaged +12.4%; out calls saw CARR move −2.0% on average.
| Called | Call | Price | Until | CARR moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | $58.22 | now | −5.5% | open |
| Jul 31, 2026 | IN | $61.81 | Aug 31, 2026 | −5.8% | ✕ wrong |
| Apr 30, 2026 | OUT | $66.69 | Jul 31, 2026 | −7.3% | ✓ right |
| Mar 31, 2026 | IN | $55.91 | Apr 30, 2026 | +19.3% | ✓ right |
| Aug 29, 2025 | OUT | $64.21 | Mar 31, 2026 | −12.9% | ✓ right |
| Jun 30, 2025 | IN | $71.87 | Aug 29, 2025 | −10.7% | ✕ wrong |
| May 30, 2025 | OUT | $69.92 | Jun 30, 2025 | +2.8% | ✕ wrong |
| Apr 28, 2023 | IN | $39.81 | May 30, 2025 | +75.6% | ✓ right |
| Mar 31, 2023 | OUT | $43.56 | Apr 28, 2023 | −8.6% | ✓ right |
| Feb 28, 2023 | IN | $42.87 | Mar 31, 2023 | +1.6% | ✓ right |
| May 31, 2022 | OUT | $36.95 | Feb 28, 2023 | +16.0% | ✕ wrong |
| Mar 31, 2021 | IN | $39.12 | May 31, 2022 | −5.6% | ✕ 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 12 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.