Momentum · month-end rule · Software & devices
12-1 Momentum on GoPro
What the play says
Latest reading: 12-1 return −58.7%
GPRO 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 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding GPRO over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −8.4% | −28.6% | −11.8% | −33.4% |
| Total return | −63% | −98% | −47% | −87% |
| Worst drawdown | −78.3% | −99.3% | −78.3% | −95.9% |
| Volatility | 37.9% | 71.6% | 45.8% | 80.8% |
| Sharpe ratio | −0.10 | −0.15 | −0.13 | −0.17 |
| Time invested | 27% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 5 of 11 closed calls (45%). In calls averaged −13.0%; out calls saw GPRO move −30.7% on average.
| Called | Call | Price | Until | GPRO moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | OUT | $0.749 | now | +57.5% | open |
| Aug 29, 2025 | IN | $1.56 | Jul 31, 2026 | −52.0% | ✕ wrong |
| Mar 31, 2022 | OUT | $8.53 | Aug 29, 2025 | −81.7% | ✓ right |
| Oct 30, 2020 | IN | $5.94 | Mar 31, 2022 | +43.6% | ✓ right |
| Sep 30, 2020 | OUT | $4.53 | Oct 30, 2020 | +31.1% | ✕ wrong |
| Aug 31, 2020 | IN | $4.59 | Sep 30, 2020 | −1.3% | ✕ wrong |
| Jun 28, 2019 | OUT | $5.46 | Aug 31, 2020 | −15.9% | ✓ right |
| Mar 29, 2019 | IN | $6.50 | Jun 28, 2019 | −16.0% | ✕ wrong |
| Dec 29, 2017 | OUT | $7.57 | Mar 29, 2019 | −14.1% | ✓ right |
| Nov 30, 2017 | IN | $8.54 | Dec 29, 2017 | −11.4% | ✕ wrong |
| Sep 30, 2015 | OUT | $31.22 | Nov 30, 2017 | −72.6% | ✓ right |
| Jun 30, 2015 | IN | $52.72 | Sep 30, 2015 | −40.8% | ✕ 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 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.