Momentum · month-end rule · Industrials & materials
12-1 Momentum on Copart
What the play says
Latest reading: 12-1 return −26.6%
CPRT 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 CPRT over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.8% | +14.4% | +2.7% | −5.5% |
| Total return | +1,901% | +1,746% | +14% | −25% |
| Worst drawdown | −43.8% | −58.7% | −33.0% | −58.7% |
| Volatility | 23.5% | 27.1% | 19.7% | 27.4% |
| Sharpe ratio | 0.63 | 0.57 | 0.04 | −0.21 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 10 of 23 closed calls (43%). In calls averaged +51.7%; out calls saw CPRT move +6.0% on average.
| Called | Call | Price | Until | CPRT moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | OUT | $49.07 | now | −46.3% | open |
| Apr 30, 2025 | IN | $61.03 | Jun 30, 2025 | −19.6% | ✕ wrong |
| Mar 31, 2025 | OUT | $56.59 | Apr 30, 2025 | +7.8% | ✕ wrong |
| Feb 28, 2023 | IN | $35.23 | Mar 31, 2025 | +60.6% | ✓ right |
| May 31, 2022 | OUT | $28.63 | Feb 28, 2023 | +23.0% | ✕ wrong |
| Mar 31, 2016 | IN | $5.10 | May 31, 2022 | +461.8% | ✓ right |
| Feb 29, 2016 | OUT | $4.72 | Mar 31, 2016 | +8.0% | ✕ wrong |
| Dec 31, 2015 | IN | $4.75 | Feb 29, 2016 | −0.7% | ✕ wrong |
| Oct 30, 2015 | OUT | $4.53 | Dec 31, 2015 | +5.0% | ✕ wrong |
| Jul 31, 2015 | IN | $4.50 | Oct 30, 2015 | +0.5% | ✓ right |
| May 29, 2015 | OUT | $4.33 | Jul 31, 2015 | +4.1% | ✕ wrong |
| Jan 30, 2015 | IN | $4.58 | May 29, 2015 | −5.5% | ✕ 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 24 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.