Momentum · month-end rule · Industrials & materials
12-1 Momentum on CSX
What the play says
Latest reading: 12-1 return 44.1%
CSX 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 CSX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.4% | +17.2% | +5.1% | +9.5% |
| Total return | +940% | +2,989% | +28% | +57% |
| Worst drawdown | −57.7% | −69.2% | −30.1% | −29.4% |
| Volatility | 26.2% | 30.8% | 19.3% | 23.4% |
| Sharpe ratio | 0.48 | 0.61 | 0.16 | 0.34 |
| Time invested | 77% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 10 of 28 closed calls (36%). In calls averaged +21.0%; out calls saw CSX move +9.3% on average.
| Called | Call | Price | Until | CSX moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | $35.92 | now | +33.0% | open |
| Nov 28, 2025 | OUT | $35.04 | Dec 31, 2025 | +2.5% | ✕ wrong |
| Oct 31, 2025 | IN | $35.56 | Nov 28, 2025 | −1.5% | ✕ wrong |
| Sep 30, 2025 | OUT | $35.06 | Oct 31, 2025 | +1.4% | ✕ wrong |
| Aug 29, 2025 | IN | $32.10 | Sep 30, 2025 | +9.2% | ✓ right |
| Jan 31, 2025 | OUT | $32.06 | Aug 29, 2025 | +0.1% | ✕ wrong |
| Dec 29, 2023 | IN | $33.36 | Jan 31, 2025 | −3.9% | ✕ wrong |
| Nov 30, 2023 | OUT | $31.08 | Dec 29, 2023 | +7.3% | ✕ wrong |
| Jun 30, 2023 | IN | $32.58 | Nov 30, 2023 | −4.6% | ✕ wrong |
| Oct 31, 2022 | OUT | $27.48 | Jun 30, 2023 | +18.6% | ✕ wrong |
| Aug 31, 2022 | IN | $29.93 | Oct 31, 2022 | −8.2% | ✕ wrong |
| Jul 29, 2022 | OUT | $30.48 | Aug 31, 2022 | −1.8% | ✓ 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 29 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.