Momentum · month-end rule · Media & telecom
12-1 Momentum on Netflix
What the play says
Latest reading: 12-1 return −32.4%
NFLX 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 NFLX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +23.0% | +32.3% | +10.3% | +2.3% |
| Total return | +8,821% | +42,863% | +63% | +12% |
| Worst drawdown | −74.5% | −82.0% | −48.0% | −75.9% |
| Volatility | 40.4% | 49.4% | 29.4% | 43.8% |
| Sharpe ratio | 0.67 | 0.78 | 0.35 | 0.19 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 13 of 30 closed calls (43%). In calls averaged +47.6%; out calls saw NFLX move +16.3% on average.
| Called | Call | Price | Until | NFLX moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | $93.61 | now | −24.7% | open |
| Mar 31, 2026 | IN | $96.15 | Apr 30, 2026 | −2.6% | ✕ wrong |
| Jan 30, 2026 | OUT | $83.49 | Mar 31, 2026 | +15.2% | ✕ wrong |
| Apr 28, 2023 | IN | $32.99 | Jan 30, 2026 | +153.1% | ✓ right |
| Feb 28, 2022 | OUT | $39.45 | Apr 28, 2023 | −16.4% | ✓ right |
| Sep 30, 2021 | IN | $61.03 | Feb 28, 2022 | −35.4% | ✕ wrong |
| Aug 31, 2021 | OUT | $56.92 | Sep 30, 2021 | +7.2% | ✕ wrong |
| Mar 31, 2020 | IN | $37.55 | Aug 31, 2021 | +51.6% | ✓ right |
| Jan 31, 2020 | OUT | $34.51 | Mar 31, 2020 | +8.8% | ✕ wrong |
| Nov 29, 2019 | IN | $31.47 | Jan 31, 2020 | +9.7% | ✓ right |
| Aug 30, 2019 | OUT | $29.38 | Nov 29, 2019 | +7.1% | ✕ wrong |
| Jul 31, 2019 | IN | $32.30 | Aug 30, 2019 | −9.1% | ✕ 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 31 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.