Momentum · month-end rule · Industrials & rentals
12-1 Momentum on Franklin Covey
What the play says
Latest reading: 12-1 return 4.8%
FC 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 FC over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.9% | +10.1% | −6.8% | −14.9% |
| Total return | +180% | +706% | −29% | −55% |
| Worst drawdown | −67.8% | −78.6% | −50.7% | −78.6% |
| Volatility | 34.7% | 46.3% | 27.2% | 46.8% |
| Sharpe ratio | 0.26 | 0.40 | −0.26 | −0.20 |
| Time invested | 62% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 19 of 43 closed calls (44%). In calls averaged +10.1%; out calls saw FC move +7.4% on average.
| Called | Call | Price | Until | FC moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | IN | $24.53 | now | −24.1% | open |
| Dec 31, 2024 | OUT | $37.58 | Jun 30, 2026 | −34.7% | ✓ right |
| Oct 31, 2024 | IN | $39.81 | Dec 31, 2024 | −5.6% | ✕ wrong |
| Sep 30, 2024 | OUT | $41.13 | Oct 31, 2024 | −3.2% | ✓ right |
| Aug 30, 2024 | IN | $40.26 | Sep 30, 2024 | +2.2% | ✓ right |
| Jun 28, 2024 | OUT | $38.00 | Aug 30, 2024 | +5.9% | ✕ wrong |
| Apr 30, 2024 | IN | $38.94 | Jun 28, 2024 | −2.4% | ✕ wrong |
| Sep 29, 2023 | OUT | $42.92 | Apr 30, 2024 | −9.3% | ✓ right |
| Aug 31, 2023 | IN | $42.67 | Sep 29, 2023 | +0.6% | ✓ right |
| Apr 28, 2023 | OUT | $36.72 | Aug 31, 2023 | +16.2% | ✕ wrong |
| Feb 28, 2023 | IN | $46.87 | Apr 28, 2023 | −21.7% | ✕ wrong |
| Jan 31, 2023 | OUT | $46.40 | Feb 28, 2023 | +1.0% | ✕ 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 44 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.