Momentum · month-end rule · Healthcare
12-1 Momentum on DexCom
What the play says
Latest reading: 12-1 return 35.3%
DXCM 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 2006
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding DXCM over exactly the same dates, after costs.
| Play, since 2006 | Hold, since 2006 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +0.9% | +13.6% | −21.2% | −9.1% |
| Total return | +20% | +1,258% | −70% | −38% |
| Worst drawdown | −85.7% | −94.6% | −75.0% | −66.3% |
| Volatility | 37.3% | 54.6% | 30.2% | 47.3% |
| Sharpe ratio | 0.17 | 0.48 | −0.76 | −0.03 |
| Time invested | 60% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 9 of 34 closed calls (26%). In calls averaged +29.1%; out calls saw DXCM move +19.8% on average.
| Called | Call | Price | Until | DXCM moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | IN | $91.06 | now | −6.6% | open |
| Apr 30, 2026 | OUT | $59.55 | Aug 31, 2026 | +52.9% | ✕ wrong |
| Mar 31, 2026 | IN | $62.80 | Apr 30, 2026 | −5.2% | ✕ wrong |
| Oct 31, 2025 | OUT | $58.22 | Mar 31, 2026 | +7.9% | ✕ wrong |
| Jul 31, 2025 | IN | $80.77 | Oct 31, 2025 | −27.9% | ✕ wrong |
| Jun 28, 2024 | OUT | $113.38 | Jul 31, 2025 | −28.8% | ✓ right |
| Apr 30, 2024 | IN | $127.39 | Jun 28, 2024 | −11.0% | ✕ wrong |
| Mar 28, 2024 | OUT | $138.70 | Apr 30, 2024 | −8.2% | ✓ right |
| Dec 29, 2023 | IN | $124.09 | Mar 28, 2024 | +11.8% | ✓ right |
| Oct 31, 2023 | OUT | $88.83 | Dec 29, 2023 | +39.7% | ✕ wrong |
| Apr 28, 2023 | IN | $121.34 | Oct 31, 2023 | −26.8% | ✕ wrong |
| Mar 31, 2023 | OUT | $116.18 | Apr 28, 2023 | +4.4% | ✕ 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 35 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.