Momentum · month-end rule · Industrials & materials
12-1 Momentum on Honeywell
What the play says
Latest reading: 12-1 return 4.6%
HON 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 HON over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.2% | +11.2% | −6.0% | +1.5% |
| Total return | +447% | +891% | −27% | +8% |
| Worst drawdown | −43.0% | −61.7% | −32.5% | −25.2% |
| Volatility | 20.6% | 25.3% | 19.6% | 22.7% |
| Sharpe ratio | 0.40 | 0.48 | −0.41 | 0.01 |
| Time invested | 82% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 15 of 32 closed calls (47%). In calls averaged +15.6%; out calls saw HON move +4.9% on average.
| Called | Call | Price | Until | HON moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | IN | $253.31 | now | −18.2% | open |
| Nov 28, 2025 | OUT | $198.87 | Feb 27, 2026 | +27.4% | ✕ wrong |
| Jul 31, 2024 | IN | $193.41 | Nov 28, 2025 | +2.8% | ✓ right |
| Jun 28, 2024 | OUT | $201.71 | Jul 31, 2024 | −4.1% | ✓ right |
| Jan 31, 2024 | IN | $189.01 | Jun 28, 2024 | +6.7% | ✓ right |
| Oct 31, 2023 | OUT | $170.25 | Jan 31, 2024 | +11.0% | ✕ wrong |
| Nov 30, 2022 | IN | $200.74 | Oct 31, 2023 | −15.2% | ✕ wrong |
| Mar 31, 2022 | OUT | $175.26 | Nov 30, 2022 | +14.5% | ✕ wrong |
| Jan 31, 2022 | IN | $183.17 | Mar 31, 2022 | −4.3% | ✕ wrong |
| Dec 31, 2021 | OUT | $186.78 | Jan 31, 2022 | −1.9% | ✓ right |
| Dec 31, 2020 | IN | $187.33 | Dec 31, 2021 | −0.3% | ✕ wrong |
| Oct 30, 2020 | OUT | $144.60 | Dec 31, 2020 | +29.6% | ✕ 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 33 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.