Momentum · month-end rule · Industrials & materials
12-1 Momentum on Fastenal
What the play says
Latest reading: 12-1 return 2.7%
FAST 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 FAST over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.3% | +15.4% | +16.9% | +16.8% |
| Total return | +912% | +2,105% | +117% | +116% |
| Worst drawdown | −45.3% | −52.0% | −26.6% | −30.7% |
| Volatility | 26.7% | 29.8% | 22.1% | 24.6% |
| Sharpe ratio | 0.47 | 0.57 | 0.64 | 0.60 |
| Time invested | 78% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 14 of 34 closed calls (41%). In calls averaged +19.6%; out calls saw FAST move +5.3% on average.
| Called | Call | Price | Until | FAST moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | $49.53 | now | +3.8% | open |
| Aug 31, 2026 | OUT | $49.31 | Sep 30, 2026 | +0.4% | ✕ wrong |
| May 31, 2023 | IN | $24.91 | Aug 31, 2026 | +98.0% | ✓ right |
| Mar 31, 2023 | OUT | $24.78 | May 31, 2023 | +0.5% | ✕ wrong |
| Feb 28, 2023 | IN | $23.69 | Mar 31, 2023 | +4.6% | ✓ right |
| Jul 29, 2022 | OUT | $23.28 | Feb 28, 2023 | +1.8% | ✕ wrong |
| May 29, 2020 | IN | $17.65 | Jul 29, 2022 | +31.9% | ✓ right |
| Apr 30, 2020 | OUT | $15.49 | May 29, 2020 | +13.9% | ✕ wrong |
| Feb 28, 2019 | IN | $13.02 | Apr 30, 2020 | +18.9% | ✓ right |
| Jan 31, 2019 | OUT | $12.51 | Feb 28, 2019 | +4.1% | ✕ wrong |
| Jun 30, 2017 | IN | $8.57 | Jan 31, 2019 | +46.0% | ✓ right |
| May 31, 2017 | OUT | $8.50 | Jun 30, 2017 | +0.8% | ✕ 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 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.