Momentum · month-end rule · Consumer & retail
12-1 Momentum on Mondelez
What the play says
Latest reading: 12-1 return 2.0%
MDLZ 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 MDLZ over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.2% | +7.6% | −0.7% | +3.3% |
| Total return | +347% | +388% | −3% | +17% |
| Worst drawdown | −29.7% | −39.3% | −26.5% | −29.1% |
| Volatility | 17.2% | 20.9% | 14.7% | 20.2% |
| Sharpe ratio | 0.38 | 0.37 | −0.23 | 0.07 |
| Time invested | 73% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 20 of 38 closed calls (53%). In calls averaged +12.3%; out calls saw MDLZ move +1.4% on average.
| Called | Call | Price | Until | MDLZ moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | IN | $61.53 | now | 0.0% | open |
| Aug 29, 2025 | OUT | $58.86 | Aug 31, 2026 | +4.5% | ✕ wrong |
| May 30, 2025 | IN | $64.20 | Aug 29, 2025 | −8.3% | ✕ wrong |
| Nov 29, 2024 | OUT | $60.87 | May 30, 2025 | +5.5% | ✕ wrong |
| Sep 30, 2024 | IN | $69.05 | Nov 29, 2024 | −11.8% | ✕ wrong |
| Jun 28, 2024 | OUT | $60.95 | Sep 30, 2024 | +13.3% | ✕ wrong |
| May 31, 2024 | IN | $63.42 | Jun 28, 2024 | −3.9% | ✕ wrong |
| Apr 30, 2024 | OUT | $66.57 | May 31, 2024 | −4.7% | ✓ right |
| Nov 30, 2022 | IN | $60.44 | Apr 30, 2024 | +10.2% | ✓ right |
| Oct 31, 2022 | OUT | $54.96 | Nov 30, 2022 | +10.0% | ✕ wrong |
| Aug 31, 2020 | IN | $49.66 | Oct 31, 2022 | +10.7% | ✓ right |
| Jun 30, 2020 | OUT | $43.46 | Aug 31, 2020 | +14.3% | ✕ 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 39 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.