Momentum · month-end rule · Consumer & retail
12-1 Momentum on Coca-Cola Europacific Partners
What the play says
Latest reading: 12-1 return 22.7%
CCEP 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 CCEP over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.0% | +13.6% | +14.9% | +18.0% |
| Total return | +426% | +1,474% | +100% | +128% |
| Worst drawdown | −48.8% | −70.9% | −28.2% | −28.2% |
| Volatility | 21.3% | 27.5% | 20.7% | 23.2% |
| Sharpe ratio | 0.38 | 0.54 | 0.59 | 0.67 |
| Time invested | 75% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 7 of 25 closed calls (28%). In calls averaged +12.7%; out calls saw CCEP move +9.9% on average.
| Called | Call | Price | Until | CCEP moved | Result |
|---|---|---|---|---|---|
| Jan 31, 2023 | IN | $51.07 | now | +106.3% | open |
| Apr 29, 2022 | OUT | $43.86 | Jan 31, 2023 | +16.4% | ✕ wrong |
| Mar 31, 2021 | IN | $44.46 | Apr 29, 2022 | −1.4% | ✕ wrong |
| Apr 30, 2020 | OUT | $32.93 | Mar 31, 2021 | +35.0% | ✕ wrong |
| Sep 28, 2018 | IN | $36.57 | Apr 30, 2020 | −10.0% | ✕ wrong |
| May 31, 2018 | OUT | $30.33 | Sep 28, 2018 | +20.6% | ✕ wrong |
| Apr 28, 2017 | IN | $29.81 | May 31, 2018 | +1.7% | ✓ right |
| Mar 31, 2017 | OUT | $28.92 | Apr 28, 2017 | +3.1% | ✕ wrong |
| Feb 28, 2017 | IN | $26.62 | Mar 31, 2017 | +8.6% | ✓ right |
| Dec 30, 2016 | OUT | $24.10 | Feb 28, 2017 | +10.5% | ✕ wrong |
| Aug 31, 2016 | IN | $29.20 | Dec 30, 2016 | −17.5% | ✕ wrong |
| Jul 29, 2016 | OUT | $28.35 | Aug 31, 2016 | +3.0% | ✕ 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 26 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.