Momentum · month-end rule · Consumer & retail
12-1 Momentum on Monster Beverage
What the play says
Latest reading: 12-1 return 36.4%
MNST 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 MNST over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +22.2% | +27.5% | +12.5% | +15.3% |
| Total return | +7,568% | +19,087% | +80% | +103% |
| Worst drawdown | −63.7% | −69.2% | −20.7% | −26.0% |
| Volatility | 34.0% | 39.3% | 19.4% | 24.9% |
| Sharpe ratio | 0.71 | 0.77 | 0.51 | 0.54 |
| Time invested | 77% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 12 of 34 closed calls (35%). In calls averaged +57.9%; out calls saw MNST move +6.4% on average.
| Called | Call | Price | Until | MNST moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2025 | IN | $30.06 | now | +44.1% | open |
| Nov 29, 2024 | OUT | $27.57 | Apr 30, 2025 | +9.1% | ✕ wrong |
| Oct 31, 2024 | IN | $26.34 | Nov 29, 2024 | +4.7% | ✓ right |
| May 31, 2024 | OUT | $25.96 | Oct 31, 2024 | +1.5% | ✕ wrong |
| Dec 29, 2023 | IN | $28.80 | May 31, 2024 | −9.9% | ✕ wrong |
| Nov 30, 2023 | OUT | $27.57 | Dec 29, 2023 | +4.5% | ✕ wrong |
| Oct 31, 2022 | IN | $23.43 | Nov 30, 2023 | +17.7% | ✓ right |
| Sep 30, 2022 | OUT | $21.74 | Oct 31, 2022 | +7.8% | ✕ wrong |
| Aug 31, 2022 | IN | $22.21 | Sep 30, 2022 | −2.1% | ✕ wrong |
| Feb 28, 2022 | OUT | $21.10 | Aug 31, 2022 | +5.2% | ✕ wrong |
| Jan 31, 2022 | IN | $21.68 | Feb 28, 2022 | −2.7% | ✕ wrong |
| Dec 31, 2021 | OUT | $24.01 | Jan 31, 2022 | −9.7% | ✓ 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 35 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.