Momentum · month-end rule · Healthcare
12-1 Momentum on Eli Lilly
What the play says
Latest reading: 12-1 return 52.6%
LLY 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 LLY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.2% | +18.5% | +30.7% | +39.1% |
| Total return | +1,659% | +3,833% | +279% | +416% |
| Worst drawdown | −34.3% | −50.9% | −34.3% | −34.5% |
| Volatility | 22.9% | 26.6% | 30.6% | 32.7% |
| Sharpe ratio | 0.61 | 0.70 | 0.90 | 1.06 |
| Time invested | 77% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 14 of 31 closed calls (45%). In calls averaged +38.2%; out calls saw LLY move +6.7% on average.
| Called | Call | Price | Until | LLY moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | IN | $1,070.30 | now | +9.0% | open |
| Jun 30, 2025 | OUT | $772.95 | Nov 28, 2025 | +38.5% | ✕ wrong |
| Apr 30, 2020 | IN | $143.92 | Jun 30, 2025 | +437.1% | ✓ right |
| Mar 31, 2020 | OUT | $129.10 | Apr 30, 2020 | +11.5% | ✕ wrong |
| Dec 31, 2019 | IN | $121.69 | Mar 31, 2020 | +6.1% | ✓ right |
| Nov 29, 2019 | OUT | $108.65 | Dec 31, 2019 | +12.0% | ✕ wrong |
| May 31, 2018 | IN | $76.19 | Nov 29, 2019 | +42.6% | ✓ right |
| Mar 29, 2018 | OUT | $68.84 | May 31, 2018 | +10.7% | ✕ wrong |
| Feb 28, 2017 | IN | $71.76 | Mar 29, 2018 | −4.1% | ✕ wrong |
| Nov 30, 2016 | OUT | $57.77 | Feb 28, 2017 | +24.2% | ✕ wrong |
| Oct 31, 2016 | IN | $63.14 | Nov 30, 2016 | −8.5% | ✕ wrong |
| Sep 30, 2016 | OUT | $68.63 | Oct 31, 2016 | −8.0% | ✓ 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 32 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.