Momentum · month-end rule · Industrials & materials
12-1 Momentum on Cintas
What the play says
Latest reading: 12-1 return −0.7%
CTAS 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 CTAS over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.2% | +16.0% | +14.1% | +16.5% |
| Total return | +2,059% | +2,411% | +93% | +113% |
| Worst drawdown | −48.4% | −57.8% | −23.8% | −27.7% |
| Volatility | 21.1% | 25.8% | 20.4% | 23.1% |
| Sharpe ratio | 0.69 | 0.64 | 0.56 | 0.61 |
| Time invested | 76% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 13 of 30 closed calls (43%). In calls averaged +61.1%; out calls saw CTAS move +1.6% on average.
| Called | Call | Price | Until | CTAS moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | OUT | $189.94 | now | +8.7% | open |
| Dec 31, 2025 | IN | $186.65 | Jan 30, 2026 | +1.8% | ✓ right |
| Nov 28, 2025 | OUT | $184.61 | Dec 31, 2025 | +1.1% | ✕ wrong |
| Nov 30, 2022 | IN | $111.58 | Nov 28, 2025 | +65.5% | ✓ right |
| Oct 31, 2022 | OUT | $103.04 | Nov 30, 2022 | +8.3% | ✕ wrong |
| Aug 31, 2022 | IN | $98.05 | Oct 31, 2022 | +5.1% | ✓ right |
| Jul 29, 2022 | OUT | $102.27 | Aug 31, 2022 | −4.1% | ✓ right |
| May 29, 2020 | IN | $58.15 | Jul 29, 2022 | +75.9% | ✓ right |
| Apr 30, 2020 | OUT | $52.03 | May 29, 2020 | +11.8% | ✕ wrong |
| Dec 31, 2010 | IN | $5.77 | Apr 30, 2020 | +802.0% | ✓ right |
| Nov 30, 2010 | OUT | $5.52 | Dec 31, 2010 | +4.5% | ✕ wrong |
| Oct 29, 2010 | IN | $5.57 | Nov 30, 2010 | −0.9% | ✕ 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 31 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.