Momentum · month-end rule · Industrials & materials
12-1 Momentum on Ferrovial
What the play says
Latest reading: 12-1 return 1.9%
FER 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 FER over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.8% | +10.8% | +11.0% | +14.1% |
| Total return | +202% | +282% | +68% | +93% |
| Worst drawdown | −45.3% | −41.2% | −31.9% | −31.9% |
| Volatility | 29.8% | 33.2% | 26.5% | 31.3% |
| Sharpe ratio | 0.37 | 0.42 | 0.38 | 0.46 |
| Time invested | 74% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 6 of 12 closed calls (50%). In calls averaged +9.1%; out calls saw FER move +5.2% on average.
| Called | Call | Price | Until | FER moved | Result |
|---|---|---|---|---|---|
| Jan 31, 2023 | IN | $27.88 | now | +81.3% | open |
| Apr 29, 2022 | OUT | $22.36 | Jan 31, 2023 | +24.7% | ✕ wrong |
| Jan 31, 2022 | IN | $23.31 | Apr 29, 2022 | −4.1% | ✕ wrong |
| Dec 31, 2021 | OUT | $24.80 | Jan 31, 2022 | −6.0% | ✓ right |
| Mar 31, 2021 | IN | $22.69 | Dec 31, 2021 | +9.3% | ✓ right |
| Aug 31, 2020 | OUT | $24.01 | Mar 31, 2021 | −5.5% | ✓ right |
| Feb 28, 2019 | IN | $18.72 | Aug 31, 2020 | +28.3% | ✓ right |
| Nov 30, 2018 | OUT | $17.12 | Feb 28, 2019 | +9.4% | ✕ wrong |
| Oct 31, 2018 | IN | $17.02 | Nov 30, 2018 | +0.6% | ✓ right |
| May 31, 2018 | OUT | $16.97 | Oct 31, 2018 | +0.2% | ✕ wrong |
| Jun 30, 2017 | IN | $18.40 | May 31, 2018 | −7.7% | ✕ wrong |
| Feb 29, 2016 | OUT | $17.02 | Jun 30, 2017 | +8.1% | ✕ 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 13 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.