Momentum · month-end rule · Consumer & retail
12-1 Momentum on Marriott
What the play says
Latest reading: 12-1 return 32.3%
MAR 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 MAR over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.1% | +13.5% | +18.4% | +20.3% |
| Total return | +560% | +1,457% | +131% | +151% |
| Worst drawdown | −62.2% | −75.6% | −30.5% | −30.5% |
| Volatility | 24.4% | 33.2% | 27.1% | 28.6% |
| Sharpe ratio | 0.41 | 0.49 | 0.62 | 0.66 |
| Time invested | 74% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 14 of 28 closed calls (50%). In calls averaged +17.6%; out calls saw MAR move +8.8% on average.
| Called | Call | Price | Until | MAR moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | $308.40 | now | +20.5% | open |
| Nov 28, 2025 | OUT | $302.99 | Dec 31, 2025 | +1.8% | ✕ wrong |
| Jun 30, 2023 | IN | $178.16 | Nov 28, 2025 | +70.1% | ✓ right |
| Mar 31, 2023 | OUT | $160.54 | Jun 30, 2023 | +11.0% | ✕ wrong |
| Feb 28, 2023 | IN | $163.63 | Mar 31, 2023 | −1.9% | ✕ wrong |
| Jan 31, 2023 | OUT | $168.01 | Feb 28, 2023 | −2.6% | ✓ right |
| Nov 30, 2022 | IN | $159.50 | Jan 31, 2023 | +5.3% | ✓ right |
| Oct 31, 2022 | OUT | $154.06 | Nov 30, 2022 | +3.5% | ✕ wrong |
| Aug 31, 2022 | IN | $147.93 | Oct 31, 2022 | +4.1% | ✓ right |
| Jul 29, 2022 | OUT | $152.54 | Aug 31, 2022 | −3.0% | ✓ right |
| Mar 31, 2021 | IN | $141.99 | Jul 29, 2022 | +7.4% | ✓ right |
| Apr 30, 2020 | OUT | $87.18 | Mar 31, 2021 | +62.9% | ✕ 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 29 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.