Momentum · month-end rule · Industrials & materials
12-1 Momentum on Linde
What the play says
Latest reading: 12-1 return 4.1%
LIN 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 LIN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.1% | +14.0% | +6.2% | +11.9% |
| Total return | +877% | +1,609% | +35% | +75% |
| Worst drawdown | −49.5% | −51.8% | −21.8% | −22.8% |
| Volatility | 21.2% | 24.6% | 18.5% | 20.9% |
| Sharpe ratio | 0.52 | 0.58 | 0.21 | 0.46 |
| Time invested | 83% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 13 of 20 closed calls (65%). In calls averaged +27.5%; out calls saw LIN move +6.6% on average.
| Called | Call | Price | Until | LIN moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | IN | $492.57 | now | −0.1% | open |
| Nov 28, 2025 | OUT | $404.83 | Mar 31, 2026 | +21.7% | ✕ wrong |
| Sep 30, 2025 | IN | $468.64 | Nov 28, 2025 | −13.6% | ✕ wrong |
| Aug 29, 2025 | OUT | $470.39 | Sep 30, 2025 | −0.4% | ✓ right |
| Jan 31, 2023 | IN | $315.10 | Aug 29, 2025 | +49.3% | ✓ right |
| Jul 29, 2022 | OUT | $285.36 | Jan 31, 2023 | +10.4% | ✕ wrong |
| May 29, 2020 | IN | $184.73 | Jul 29, 2022 | +54.5% | ✓ right |
| Apr 30, 2020 | OUT | $167.98 | May 29, 2020 | +10.0% | ✕ wrong |
| Feb 28, 2019 | IN | $154.48 | Apr 30, 2020 | +8.7% | ✓ right |
| Jan 31, 2019 | OUT | $145.35 | Feb 28, 2019 | +6.3% | ✕ wrong |
| Jul 29, 2016 | IN | $98.17 | Jan 31, 2019 | +48.1% | ✓ right |
| Feb 27, 2015 | OUT | $103.63 | Jul 29, 2016 | −5.3% | ✓ 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 21 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.