Momentum · month-end rule · Big tech
12-1 Momentum on Microsoft
What the play says
Latest reading: 12-1 return −1.3%
MSFT 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 MSFT over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.5% | +17.0% | +0.6% | +13.9% |
| Total return | +614% | +2,908% | +3% | +91% |
| Worst drawdown | −41.2% | −57.9% | −41.2% | −37.1% |
| Volatility | 21.7% | 27.4% | 21.1% | 28.2% |
| Sharpe ratio | 0.45 | 0.65 | −0.05 | 0.47 |
| Time invested | 77% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 12 of 27 closed calls (44%). In calls averaged +35.7%; out calls saw MSFT move +10.7% on average.
| Called | Call | Price | Until | MSFT moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | $406.13 | now | +33.8% | open |
| Jun 30, 2025 | IN | $492.54 | Apr 30, 2026 | −17.5% | ✕ wrong |
| Mar 31, 2025 | OUT | $371.03 | Jun 30, 2025 | +32.7% | ✕ wrong |
| Apr 28, 2023 | IN | $298.94 | Mar 31, 2025 | +24.1% | ✓ right |
| Jul 29, 2022 | OUT | $271.12 | Apr 28, 2023 | +10.3% | ✕ wrong |
| Nov 30, 2015 | IN | $47.29 | Jul 29, 2022 | +473.3% | ✓ right |
| Sep 30, 2015 | OUT | $38.25 | Nov 30, 2015 | +23.6% | ✕ wrong |
| May 31, 2013 | IN | $28.36 | Sep 30, 2015 | +34.9% | ✓ right |
| Jan 31, 2013 | OUT | $21.97 | May 31, 2013 | +29.1% | ✕ wrong |
| Feb 29, 2012 | IN | $24.86 | Jan 31, 2013 | −11.7% | ✕ wrong |
| Dec 30, 2011 | OUT | $20.20 | Feb 29, 2012 | +23.1% | ✕ wrong |
| Nov 30, 2011 | IN | $19.91 | Dec 30, 2011 | +1.5% | ✓ 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 28 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.