Momentum · month-end rule · Software & devices
12-1 Momentum on Intuit
What the play says
Latest reading: 12-1 return −46.8%
INTU 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 INTU over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.3% | +14.2% | −9.1% | −10.2% |
| Total return | +1,139% | +1,681% | −38% | −41% |
| Worst drawdown | −59.0% | −68.2% | −59.0% | −68.2% |
| Volatility | 25.2% | 31.1% | 26.8% | 39.0% |
| Sharpe ratio | 0.52 | 0.53 | −0.36 | −0.18 |
| Time invested | 79% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 15 of 32 closed calls (47%). In calls averaged +22.9%; out calls saw INTU move +5.3% on average.
| Called | Call | Price | Until | INTU moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | OUT | $404.09 | now | −25.4% | open |
| May 30, 2025 | IN | $740.64 | Feb 27, 2026 | −45.4% | ✕ wrong |
| Jan 31, 2025 | OUT | $590.24 | May 30, 2025 | +25.5% | ✕ wrong |
| Apr 28, 2023 | IN | $430.82 | Jan 31, 2025 | +37.0% | ✓ right |
| May 31, 2022 | OUT | $399.26 | Apr 28, 2023 | +7.9% | ✕ wrong |
| May 29, 2020 | IN | $276.48 | May 31, 2022 | +44.4% | ✓ right |
| Apr 30, 2020 | OUT | $256.95 | May 29, 2020 | +7.6% | ✕ wrong |
| Jun 30, 2016 | IN | $102.36 | Apr 30, 2020 | +151.0% | ✓ right |
| May 31, 2016 | OUT | $97.82 | Jun 30, 2016 | +4.6% | ✕ wrong |
| Mar 31, 2016 | IN | $95.12 | May 31, 2016 | +2.8% | ✓ right |
| Feb 29, 2016 | OUT | $88.38 | Mar 31, 2016 | +7.6% | ✕ wrong |
| Oct 30, 2015 | IN | $88.82 | Feb 29, 2016 | −0.5% | ✕ 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.