Momentum · month-end rule · Consumer & retail
12-1 Momentum on Keurig Dr Pepper
What the play says
Latest reading: 12-1 return 27.9%
KDP 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 2009
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding KDP over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.2% | +16.4% | +3.1% | +0.8% |
| Total return | +1,054% | +1,295% | +17% | +4% |
| Worst drawdown | −36.9% | −36.9% | −19.0% | −31.2% |
| Volatility | 20.4% | 22.6% | 15.0% | 22.0% |
| Sharpe ratio | 0.72 | 0.72 | 0.03 | −0.03 |
| Time invested | 80% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 7 of 15 closed calls (47%). In calls averaged +61.2%; out calls saw KDP move +4.4% on average.
| Called | Call | Price | Until | KDP moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | IN | $30.90 | now | +5.7% | open |
| Jul 31, 2025 | OUT | $31.36 | Jul 31, 2026 | −1.5% | ✓ right |
| May 31, 2024 | IN | $31.81 | Jul 31, 2025 | −1.4% | ✕ wrong |
| Jan 31, 2023 | OUT | $31.72 | May 31, 2024 | +0.3% | ✕ wrong |
| Dec 31, 2020 | IN | $27.47 | Jan 31, 2023 | +15.5% | ✓ right |
| Oct 30, 2020 | OUT | $23.09 | Dec 31, 2020 | +19.0% | ✕ wrong |
| Jul 31, 2020 | IN | $26.12 | Oct 30, 2020 | −11.6% | ✕ wrong |
| Apr 30, 2020 | OUT | $22.47 | Jul 31, 2020 | +16.2% | ✕ wrong |
| Sep 29, 2017 | IN | $11.49 | Apr 30, 2020 | +95.5% | ✓ right |
| Jun 30, 2017 | OUT | $11.76 | Sep 29, 2017 | −2.3% | ✓ right |
| Feb 28, 2017 | IN | $11.91 | Jun 30, 2017 | −1.3% | ✕ wrong |
| Dec 30, 2016 | OUT | $11.56 | Feb 28, 2017 | +3.1% | ✕ 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 16 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.