Momentum · month-end rule · Consumer & retail
12-1 Momentum on Costco
What the play says
Latest reading: 12-1 return 2.6%
COST 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 COST over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.8% | +17.1% | +18.2% | +17.8% |
| Total return | +2,294% | +2,934% | +130% | +126% |
| Worst drawdown | −31.6% | −48.0% | −31.4% | −31.4% |
| Volatility | 20.4% | 22.3% | 20.7% | 22.9% |
| Sharpe ratio | 0.73 | 0.74 | 0.73 | 0.67 |
| Time invested | 88% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 10 of 20 closed calls (50%). In calls averaged +51.0%; out calls saw COST move +2.9% on average.
| Called | Call | Price | Until | COST moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | IN | $951.89 | now | +0.3% | open |
| May 29, 2026 | OUT | $954.80 | Jul 31, 2026 | −0.3% | ✓ right |
| Mar 31, 2026 | IN | $993.41 | May 29, 2026 | −3.9% | ✕ wrong |
| Jan 30, 2026 | OUT | $937.40 | Mar 31, 2026 | +6.0% | ✕ wrong |
| Dec 31, 2025 | IN | $858.55 | Jan 30, 2026 | +9.2% | ✓ right |
| Nov 28, 2025 | OUT | $909.58 | Dec 31, 2025 | −5.6% | ✓ right |
| May 31, 2023 | IN | $490.70 | Nov 28, 2025 | +85.4% | ✓ right |
| Oct 31, 2022 | OUT | $479.21 | May 31, 2023 | +2.4% | ✕ wrong |
| Jan 31, 2017 | IN | $138.93 | Oct 31, 2022 | +244.9% | ✓ right |
| Oct 31, 2016 | OUT | $124.92 | Jan 31, 2017 | +11.2% | ✕ wrong |
| Aug 29, 2014 | IN | $96.91 | Oct 31, 2016 | +28.9% | ✓ right |
| Jul 31, 2014 | OUT | $94.08 | Aug 29, 2014 | +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 21 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.