Momentum · month-end rule · Healthcare
12-1 Momentum on Novo Nordisk
What the play says
Latest reading: 12-1 return −14.2%
NVO 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 NVO over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.3% | +15.4% | +9.7% | −3.2% |
| Total return | +2,097% | +2,132% | +58% | −15% |
| Worst drawdown | −46.2% | −74.7% | −46.2% | −74.7% |
| Volatility | 24.0% | 30.2% | 27.0% | 39.0% |
| Sharpe ratio | 0.64 | 0.57 | 0.34 | 0.02 |
| Time invested | 78% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 14 of 27 closed calls (52%). In calls averaged +30.0%; out calls saw NVO move +3.7% on average.
| Called | Call | Price | Until | NVO moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | $45.33 | now | −16.0% | open |
| Jul 31, 2026 | IN | $46.49 | Aug 31, 2026 | −2.5% | ✕ wrong |
| Jan 31, 2025 | OUT | $78.28 | Jul 31, 2026 | −40.6% | ✓ right |
| Nov 30, 2022 | IN | $56.39 | Jan 31, 2025 | +38.8% | ✓ right |
| Oct 31, 2022 | OUT | $49.26 | Nov 30, 2022 | +14.5% | ✕ wrong |
| Sep 30, 2019 | IN | $22.12 | Oct 31, 2022 | +122.7% | ✓ right |
| Aug 30, 2019 | OUT | $22.29 | Sep 30, 2019 | −0.8% | ✓ right |
| Mar 29, 2019 | IN | $22.18 | Aug 30, 2019 | +0.5% | ✓ right |
| Oct 31, 2018 | OUT | $18.03 | Mar 29, 2019 | +23.0% | ✕ wrong |
| Sep 29, 2017 | IN | $19.64 | Oct 31, 2018 | −8.2% | ✕ wrong |
| Sep 30, 2016 | OUT | $16.46 | Sep 29, 2017 | +19.3% | ✕ wrong |
| Aug 31, 2016 | IN | $18.49 | Sep 30, 2016 | −11.0% | ✕ 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 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.