Momentum · month-end rule · Software & devices
12-1 Momentum on Cisco
What the play says
Latest reading: 12-1 return 64.8%
CSCO 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 CSCO over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.2% | +11.2% | +15.8% | +19.4% |
| Total return | +721% | +894% | +107% | +142% |
| Worst drawdown | −38.6% | −60.0% | −33.9% | −36.7% |
| Volatility | 20.5% | 28.2% | 23.2% | 26.1% |
| Sharpe ratio | 0.49 | 0.45 | 0.59 | 0.67 |
| Time invested | 67% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 19 of 31 closed calls (61%). In calls averaged +10.5%; out calls saw CSCO move +2.2% on average.
| Called | Call | Price | Until | CSCO moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2024 | IN | $52.42 | now | +119.5% | open |
| May 31, 2024 | OUT | $43.79 | Oct 31, 2024 | +19.7% | ✕ wrong |
| Apr 30, 2024 | IN | $44.25 | May 31, 2024 | −1.0% | ✕ wrong |
| Mar 28, 2024 | OUT | $46.62 | Apr 30, 2024 | −5.1% | ✓ right |
| Apr 28, 2023 | IN | $43.16 | Mar 28, 2024 | +8.0% | ✓ right |
| May 31, 2022 | OUT | $39.79 | Apr 28, 2023 | +8.5% | ✕ wrong |
| Feb 26, 2021 | IN | $38.32 | May 31, 2022 | +3.8% | ✓ right |
| Sep 30, 2020 | OUT | $33.07 | Feb 26, 2021 | +15.9% | ✕ wrong |
| Aug 31, 2020 | IN | $35.44 | Sep 30, 2020 | −6.7% | ✕ wrong |
| Feb 28, 2020 | OUT | $32.94 | Aug 31, 2020 | +7.6% | ✕ wrong |
| Oct 31, 2019 | IN | $38.91 | Feb 28, 2020 | −15.3% | ✕ wrong |
| Sep 30, 2019 | OUT | $40.16 | Oct 31, 2019 | −3.1% | ✓ 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 32 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.