Momentum · month-end rule · Financials
12-1 Momentum on JPMorgan Chase
What the play says
Latest reading: 12-1 return 15.0%
JPM 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 JPM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.7% | +13.5% | +17.2% | +18.5% |
| Total return | +307% | +1,463% | +120% | +133% |
| Worst drawdown | −60.3% | −68.1% | −28.7% | −38.8% |
| Volatility | 22.9% | 35.6% | 21.3% | 24.3% |
| Sharpe ratio | 0.32 | 0.48 | 0.67 | 0.67 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 10 of 30 closed calls (33%). In calls averaged +5.4%; out calls saw JPM move +10.8% on average.
| Called | Call | Price | Until | JPM moved | Result |
|---|---|---|---|---|---|
| Feb 28, 2023 | IN | $131.59 | now | +151.9% | open |
| Mar 31, 2022 | OUT | $121.14 | Feb 28, 2023 | +8.6% | ✕ wrong |
| Feb 26, 2021 | IN | $127.73 | Mar 31, 2022 | −5.2% | ✕ wrong |
| Apr 30, 2020 | OUT | $80.97 | Feb 26, 2021 | +57.8% | ✕ wrong |
| Aug 30, 2019 | IN | $90.62 | Apr 30, 2020 | −10.7% | ✕ wrong |
| Jul 31, 2019 | OUT | $95.69 | Aug 30, 2019 | −5.3% | ✓ right |
| May 31, 2019 | IN | $86.79 | Jul 31, 2019 | +10.3% | ✓ right |
| Jan 31, 2019 | OUT | $84.13 | May 31, 2019 | +3.2% | ✕ wrong |
| Aug 31, 2016 | IN | $51.64 | Jan 31, 2019 | +62.9% | ✓ right |
| Feb 29, 2016 | OUT | $42.43 | Aug 31, 2016 | +21.7% | ✕ wrong |
| Mar 31, 2015 | IN | $44.44 | Feb 29, 2016 | −4.5% | ✕ wrong |
| Feb 27, 2015 | OUT | $44.95 | Mar 31, 2015 | −1.1% | ✓ 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 31 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.