Momentum · month-end rule · Healthcare
12-1 Momentum on GE HealthCare
What the play says
Latest reading: 12-1 return −5.0%
GEHC 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 2024
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding GEHC over exactly the same dates, after costs.
| Play, since 2024 | Hold, since 2024 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −1.8% | −3.5% | −1.8% | −3.5% |
| Total return | −5% | −9% | −5% | −9% |
| Worst drawdown | −26.6% | −37.4% | −26.6% | −37.4% |
| Volatility | 22.1% | 33.7% | 22.1% | 33.7% |
| Sharpe ratio | −0.16 | −0.06 | −0.16 | −0.06 |
| Time invested | 45% | 100% | ||
| Switches per year | 4.0 | 0 |
Every call, graded
Right on 6 of 11 closed calls (55%). In calls averaged −1.4%; out calls saw GEHC move −1.0% on average.
| Called | Call | Price | Until | GEHC moved | Result |
|---|---|---|---|---|---|
| May 29, 2026 | OUT | $62.30 | now | +10.4% | open |
| Mar 31, 2026 | IN | $71.11 | May 29, 2026 | −12.4% | ✕ wrong |
| Jan 30, 2026 | OUT | $78.89 | Mar 31, 2026 | −9.9% | ✓ right |
| Dec 31, 2025 | IN | $81.90 | Jan 30, 2026 | −3.7% | ✕ wrong |
| May 30, 2025 | OUT | $70.37 | Dec 31, 2025 | +16.4% | ✕ wrong |
| Apr 30, 2025 | IN | $70.16 | May 30, 2025 | +0.3% | ✓ right |
| Feb 28, 2025 | OUT | $87.10 | Apr 30, 2025 | −19.4% | ✓ right |
| Jul 31, 2024 | IN | $84.32 | Feb 28, 2025 | +3.3% | ✓ right |
| May 31, 2024 | OUT | $77.69 | Jul 31, 2024 | +8.5% | ✕ wrong |
| Mar 28, 2024 | IN | $90.52 | May 31, 2024 | −14.2% | ✕ wrong |
| Feb 29, 2024 | OUT | $90.88 | Mar 28, 2024 | −0.4% | ✓ right |
| Dec 29, 2023 | IN | $76.95 | Feb 29, 2024 | +18.1% | ✓ right |
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 12 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.