Momentum · month-end rule · Healthcare
12-1 Momentum on Medtronic
What the play says
Latest reading: 12-1 return −2.5%
MDT 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 MDT over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −0.4% | +4.9% | −6.4% | −2.3% |
| Total return | −9% | +183% | −28% | −11% |
| Worst drawdown | −63.6% | −57.6% | −36.3% | −42.2% |
| Volatility | 18.2% | 23.5% | 15.1% | 22.6% |
| Sharpe ratio | −0.03 | 0.25 | −0.62 | −0.16 |
| Time invested | 65% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 13 of 43 closed calls (30%). In calls averaged +1.2%; out calls saw MDT move +6.2% on average.
| Called | Call | Price | Until | MDT moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | $77.59 | now | +19.9% | open |
| Feb 28, 2025 | IN | $86.98 | Jun 30, 2026 | −10.8% | ✕ wrong |
| Jan 31, 2025 | OUT | $85.84 | Feb 28, 2025 | +1.3% | ✕ wrong |
| Aug 30, 2024 | IN | $82.36 | Jan 31, 2025 | +4.2% | ✓ right |
| Jun 28, 2024 | OUT | $73.18 | Aug 30, 2024 | +12.5% | ✕ wrong |
| May 31, 2024 | IN | $74.99 | Jun 28, 2024 | −2.4% | ✕ wrong |
| Apr 30, 2024 | OUT | $73.95 | May 31, 2024 | +1.4% | ✕ wrong |
| Dec 29, 2023 | IN | $75.30 | Apr 30, 2024 | −1.8% | ✕ wrong |
| Oct 31, 2023 | OUT | $63.96 | Dec 29, 2023 | +17.7% | ✕ wrong |
| Aug 31, 2023 | IN | $73.25 | Oct 31, 2023 | −12.7% | ✕ wrong |
| Dec 31, 2021 | OUT | $88.72 | Aug 31, 2023 | −17.4% | ✓ right |
| Dec 31, 2020 | IN | $98.35 | Dec 31, 2021 | −9.8% | ✕ 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 44 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.