Momentum · month-end rule · Consumer & retail
12-1 Momentum on MercadoLibre
What the play says
Latest reading: 12-1 return −17.1%
MELI 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 2008
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding MELI over exactly the same dates, after costs.
| Play, since 2008 | Hold, since 2008 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.3% | +26.0% | +1.1% | +4.3% |
| Total return | +258% | +6,423% | +5% | +24% |
| Worst drawdown | −74.6% | −73.1% | −38.8% | −64.2% |
| Volatility | 37.4% | 51.4% | 30.8% | 49.5% |
| Sharpe ratio | 0.34 | 0.68 | 0.07 | 0.26 |
| Time invested | 71% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 4 of 19 closed calls (21%). In calls averaged +25.5%; out calls saw MELI move +40.2% on average.
| Called | Call | Price | Until | MELI moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | OUT | $1,729.02 | now | +8.5% | open |
| Feb 28, 2025 | IN | $2,121.87 | Mar 31, 2026 | −18.5% | ✕ wrong |
| Jan 31, 2025 | OUT | $1,922.19 | Feb 28, 2025 | +10.4% | ✕ wrong |
| Feb 28, 2023 | IN | $1,220.00 | Jan 31, 2025 | +57.6% | ✓ right |
| Nov 30, 2021 | OUT | $1,188.41 | Feb 28, 2023 | +2.7% | ✕ wrong |
| Mar 29, 2019 | IN | $507.73 | Nov 30, 2021 | +134.1% | ✓ right |
| Jan 31, 2019 | OUT | $364.00 | Mar 29, 2019 | +39.5% | ✕ wrong |
| Jul 29, 2016 | IN | $152.46 | Jan 31, 2019 | +138.8% | ✓ right |
| Oct 30, 2015 | OUT | $97.64 | Jul 29, 2016 | +56.1% | ✕ wrong |
| Nov 28, 2014 | IN | $139.34 | Oct 30, 2015 | −29.9% | ✕ wrong |
| Apr 30, 2014 | OUT | $91.90 | Nov 28, 2014 | +51.6% | ✕ wrong |
| Apr 30, 2013 | IN | $98.57 | Apr 30, 2014 | −6.8% | ✕ 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 20 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.