Momentum · month-end rule · Industrials & materials
12-1 Momentum on Old Dominion Freight Line
What the play says
Latest reading: 12-1 return 42.7%
ODFL 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 ODFL over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.4% | +20.3% | −0.8% | +5.7% |
| Total return | +1,733% | +5,371% | −4% | +32% |
| Worst drawdown | −65.7% | −50.9% | −36.1% | −45.2% |
| Volatility | 31.0% | 37.1% | 27.0% | 37.0% |
| Sharpe ratio | 0.53 | 0.64 | −0.03 | 0.23 |
| Time invested | 75% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 11 of 28 closed calls (39%). In calls averaged +39.6%; out calls saw ODFL move +10.4% on average.
| Called | Call | Price | Until | ODFL moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | IN | $194.85 | now | −6.0% | open |
| Jan 31, 2025 | OUT | $183.51 | Mar 31, 2026 | +6.2% | ✕ wrong |
| Oct 31, 2024 | IN | $198.80 | Jan 31, 2025 | −7.7% | ✕ wrong |
| Jun 28, 2024 | OUT | $174.16 | Oct 31, 2024 | +14.2% | ✕ wrong |
| Feb 28, 2023 | IN | $166.31 | Jun 28, 2024 | +4.7% | ✓ right |
| Sep 30, 2022 | OUT | $121.68 | Feb 28, 2023 | +36.7% | ✕ wrong |
| Aug 31, 2022 | IN | $132.61 | Sep 30, 2022 | −8.2% | ✕ wrong |
| Jul 29, 2022 | OUT | $148.29 | Aug 31, 2022 | −10.6% | ✓ right |
| Jul 31, 2019 | IN | $53.82 | Jul 29, 2022 | +175.5% | ✓ right |
| May 31, 2019 | OUT | $42.63 | Jul 31, 2019 | +26.2% | ✕ wrong |
| Mar 29, 2019 | IN | $46.48 | May 31, 2019 | −8.3% | ✕ wrong |
| Jan 31, 2019 | OUT | $43.71 | Mar 29, 2019 | +6.3% | ✕ 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 29 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.