Momentum · month-end rule · Energy & power
12-1 Momentum on Diamondback Energy
What the play says
Latest reading: 12-1 return 43.5%
FANG 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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding FANG over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.1% | +13.5% | +15.3% | +17.8% |
| Total return | +289% | +415% | +103% | +126% |
| Worst drawdown | −42.6% | −88.7% | −33.5% | −42.1% |
| Volatility | 31.9% | 47.4% | 31.9% | 36.5% |
| Sharpe ratio | 0.43 | 0.47 | 0.49 | 0.53 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 8 of 16 closed calls (50%). In calls averaged +19.6%; out calls saw FANG move +5.0% on average.
| Called | Call | Price | Until | FANG moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | IN | $171.16 | now | +15.8% | open |
| Feb 28, 2025 | OUT | $151.98 | Feb 27, 2026 | +12.6% | ✕ wrong |
| Jun 30, 2023 | IN | $117.03 | Feb 28, 2025 | +29.9% | ✓ right |
| May 31, 2023 | OUT | $113.28 | Jun 30, 2023 | +3.3% | ✕ wrong |
| Mar 31, 2021 | IN | $58.83 | May 31, 2023 | +92.6% | ✓ right |
| Dec 31, 2018 | OUT | $70.70 | Mar 31, 2021 | −16.8% | ✓ right |
| Dec 29, 2017 | IN | $95.99 | Dec 31, 2018 | −26.3% | ✕ wrong |
| Nov 30, 2017 | OUT | $83.11 | Dec 29, 2017 | +15.5% | ✕ wrong |
| Oct 31, 2017 | IN | $81.47 | Nov 30, 2017 | +2.0% | ✓ right |
| Sep 29, 2017 | OUT | $74.48 | Oct 31, 2017 | +9.4% | ✕ wrong |
| May 31, 2016 | IN | $69.15 | Sep 29, 2017 | +7.7% | ✓ right |
| Mar 31, 2016 | OUT | $58.68 | May 31, 2016 | +17.8% | ✕ 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 17 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.