Momentum · month-end rule · Healthcare
12-1 Momentum on IDEXX Laboratories
What the play says
Latest reading: 12-1 return −12.9%
IDXX 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 IDXX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.0% | +18.0% | −12.1% | −3.6% |
| Total return | +867% | +3,508% | −48% | −16% |
| Worst drawdown | −58.4% | −57.3% | −55.9% | −51.3% |
| Volatility | 26.1% | 30.3% | 26.6% | 35.7% |
| Sharpe ratio | 0.46 | 0.64 | −0.50 | −0.03 |
| Time invested | 79% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 11 of 29 closed calls (38%). In calls averaged +25.4%; out calls saw IDXX move +11.8% on average.
| Called | Call | Price | Until | IDXX moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | OUT | $559.07 | now | −6.9% | open |
| Jun 30, 2025 | IN | $536.34 | Jul 31, 2026 | +4.2% | ✓ right |
| Nov 29, 2024 | OUT | $421.75 | Jun 30, 2025 | +27.2% | ✕ wrong |
| Sep 30, 2024 | IN | $505.22 | Nov 29, 2024 | −16.5% | ✕ wrong |
| Jun 28, 2024 | OUT | $487.20 | Sep 30, 2024 | +3.7% | ✕ wrong |
| Dec 29, 2023 | IN | $555.05 | Jun 28, 2024 | −12.2% | ✕ wrong |
| Nov 30, 2023 | OUT | $465.82 | Dec 29, 2023 | +19.2% | ✕ wrong |
| Apr 28, 2023 | IN | $492.16 | Nov 30, 2023 | −5.4% | ✕ wrong |
| Apr 29, 2022 | OUT | $430.48 | Apr 28, 2023 | +14.3% | ✕ wrong |
| Mar 31, 2022 | IN | $547.06 | Apr 29, 2022 | −21.3% | ✕ wrong |
| Feb 28, 2022 | OUT | $532.35 | Mar 31, 2022 | +2.8% | ✕ wrong |
| Feb 28, 2019 | IN | $211.03 | Feb 28, 2022 | +152.3% | ✓ right |
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 30 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.