Momentum · month-end rule · Industrials & materials
12-1 Momentum on Honeywell Aerospace
What the play says
HONA 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.
The record
The play against buying and holding HONA over exactly the same dates, after costs.
| Play, since – | Hold, since – | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | – | – | – | – |
| Total return | – | – | – | – |
| Worst drawdown | – | – | – | – |
| Volatility | – | – | – | – |
| Sharpe ratio | – | – | – | – |
| Time invested | – | 100% | ||
| Switches per year | 0.0 | 0 |
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.