Momentum · month-end rule · Software & devices
12-1 Momentum on Fortinet
What the play says
Latest reading: 12-1 return 103.3%
FTNT 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 2010
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding FTNT over exactly the same dates, after costs.
| Play, since 2010 | Hold, since 2010 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.6% | +29.4% | +0.4% | +25.3% |
| Total return | +893% | +5,824% | +2% | +208% |
| Worst drawdown | −51.2% | −51.2% | −46.6% | −38.3% |
| Volatility | 36.2% | 41.5% | 37.1% | 44.7% |
| Sharpe ratio | 0.54 | 0.79 | 0.10 | 0.65 |
| Time invested | 75% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 5 of 18 closed calls (28%). In calls averaged +35.0%; out calls saw FTNT move +25.0% on average.
| Called | Call | Price | Until | FTNT moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | IN | $153.62 | now | +24.2% | open |
| Nov 28, 2025 | OUT | $81.13 | Jun 30, 2026 | +89.4% | ✕ wrong |
| Sep 30, 2024 | IN | $77.55 | Nov 28, 2025 | +4.6% | ✓ right |
| May 31, 2024 | OUT | $59.32 | Sep 30, 2024 | +30.7% | ✕ wrong |
| Apr 28, 2023 | IN | $63.05 | May 31, 2024 | −5.9% | ✕ wrong |
| Aug 31, 2022 | OUT | $48.69 | Apr 28, 2023 | +29.5% | ✕ wrong |
| Nov 29, 2019 | IN | $21.02 | Aug 31, 2022 | +131.6% | ✓ right |
| Aug 30, 2019 | OUT | $15.84 | Nov 29, 2019 | +32.7% | ✕ wrong |
| Jan 31, 2017 | IN | $6.65 | Aug 30, 2019 | +138.1% | ✓ right |
| Nov 30, 2016 | OUT | $6.02 | Jan 31, 2017 | +10.5% | ✕ wrong |
| Oct 31, 2016 | IN | $6.41 | Nov 30, 2016 | −6.1% | ✕ wrong |
| Feb 29, 2016 | OUT | $5.68 | Oct 31, 2016 | +12.9% | ✕ 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 19 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.