Momentum · month-end rule · Healthcare
12-1 Momentum on Gilead Sciences
What the play says
Latest reading: 12-1 return 34.3%
GILD 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 GILD over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +13.3% | +16.2% | +10.6% | +21.3% |
| Total return | +1,386% | +2,491% | +65% | +161% |
| Worst drawdown | −52.6% | −45.7% | −28.7% | −26.6% |
| Volatility | 24.4% | 28.8% | 20.4% | 24.8% |
| Sharpe ratio | 0.56 | 0.60 | 0.41 | 0.75 |
| Time invested | 66% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 12 of 30 closed calls (40%). In calls averaged +34.3%; out calls saw GILD move +5.2% on average.
| Called | Call | Price | Until | GILD moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | $74.17 | now | +99.4% | open |
| Mar 28, 2024 | OUT | $67.94 | Aug 30, 2024 | +9.2% | ✕ wrong |
| Jan 31, 2024 | IN | $71.85 | Mar 28, 2024 | −5.4% | ✕ wrong |
| Oct 31, 2023 | OUT | $71.46 | Jan 31, 2024 | +0.6% | ✕ wrong |
| Nov 30, 2022 | IN | $77.00 | Oct 31, 2023 | −7.2% | ✕ wrong |
| Mar 31, 2022 | OUT | $50.90 | Nov 30, 2022 | +51.3% | ✕ wrong |
| Jul 30, 2021 | IN | $56.58 | Mar 31, 2022 | −10.0% | ✕ wrong |
| Nov 30, 2020 | OUT | $48.64 | Jul 30, 2021 | +16.3% | ✕ wrong |
| Feb 28, 2020 | IN | $54.04 | Nov 30, 2020 | −10.0% | ✕ wrong |
| Jan 31, 2020 | OUT | $49.24 | Feb 28, 2020 | +9.7% | ✕ wrong |
| Dec 31, 2019 | IN | $50.63 | Jan 31, 2020 | −2.7% | ✕ wrong |
| Jan 31, 2019 | OUT | $52.52 | Dec 31, 2019 | −3.6% | ✓ 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 31 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.