Momentum · month-end rule · Big tech
12-1 Momentum on Alphabet
What the play says
Latest reading: 12-1 return 39.9%
GOOGL 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 GOOGL over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.2% | +20.4% | +16.6% | +21.1% |
| Total return | +1,855% | +4,886% | +114% | +160% |
| Worst drawdown | −46.0% | −65.3% | −29.8% | −44.3% |
| Volatility | 25.4% | 30.1% | 26.4% | 32.1% |
| Sharpe ratio | 0.61 | 0.71 | 0.57 | 0.64 |
| Time invested | 81% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 10 of 30 closed calls (33%). In calls averaged +20.1%; out calls saw GOOGL move +7.0% on average.
| Called | Call | Price | Until | GOOGL moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | IN | $191.23 | now | +85.0% | open |
| Apr 30, 2025 | OUT | $158.06 | Jul 31, 2025 | +21.0% | ✕ wrong |
| Jun 30, 2023 | IN | $118.57 | Apr 30, 2025 | +33.3% | ✓ right |
| May 31, 2022 | OUT | $112.69 | Jun 30, 2023 | +5.2% | ✕ wrong |
| May 29, 2020 | IN | $71.00 | May 31, 2022 | +58.7% | ✓ right |
| Apr 30, 2020 | OUT | $66.70 | May 29, 2020 | +6.4% | ✕ wrong |
| Oct 31, 2019 | IN | $62.35 | Apr 30, 2020 | +7.0% | ✓ right |
| Jun 28, 2019 | OUT | $53.63 | Oct 31, 2019 | +16.3% | ✕ wrong |
| Feb 28, 2019 | IN | $55.80 | Jun 28, 2019 | −3.9% | ✕ wrong |
| Jan 31, 2019 | OUT | $55.76 | Feb 28, 2019 | +0.1% | ✕ wrong |
| Jan 31, 2017 | IN | $40.62 | Jan 31, 2019 | +37.3% | ✓ right |
| Dec 30, 2016 | OUT | $39.25 | Jan 31, 2017 | +3.5% | ✕ 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 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.