Momentum · month-end rule · Industrials & rentals
12-1 Momentum on Hertz
What the play says
Latest reading: 12-1 return −66.6%
HTZ 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 2022
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding HTZ over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −8.9% | −43.9% | −8.9% | −43.9% |
| Total return | −32% | −91% | −32% | −91% |
| Worst drawdown | −62.5% | −93.1% | −62.5% | −93.1% |
| Volatility | 38.9% | 83.6% | 38.9% | 83.6% |
| Sharpe ratio | −0.17 | −0.34 | −0.17 | −0.34 |
| Time invested | 26% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 3 of 6 closed calls (50%). In calls averaged −15.3%; out calls saw HTZ move −20.3% on average.
| Called | Call | Price | Until | HTZ moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | $6.36 | now | −69.8% | open |
| May 30, 2025 | IN | $6.55 | Apr 30, 2026 | −2.9% | ✕ wrong |
| Oct 31, 2023 | OUT | $8.43 | May 30, 2025 | −22.3% | ✓ right |
| Sep 29, 2023 | IN | $12.25 | Oct 31, 2023 | −31.2% | ✕ wrong |
| Sep 30, 2022 | OUT | $16.28 | Sep 29, 2023 | −24.8% | ✓ right |
| Aug 31, 2022 | IN | $18.46 | Sep 30, 2022 | −11.8% | ✕ wrong |
| Jul 29, 2022 | OUT | $21.42 | Aug 31, 2022 | −13.8% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 7 of 7 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.