Momentum · month-end rule · Micro caps
12-1 Momentum on Ocean Power Technologies
What the play says
Latest reading: 12-1 return −66.0%
OPTT 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 2008
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding OPTT over exactly the same dates, after costs.
| Play, since 2008 | Hold, since 2008 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −22.1% | −34.7% | −20.4% | −19.5% |
| Total return | −99% | −100% | −68% | −66% |
| Worst drawdown | −99.1% | −100.0% | −82.0% | −98.2% |
| Volatility | 49.9% | 1,484.6% | 55.8% | 2,844.1% |
| Sharpe ratio | −0.29 | 0.51 | −0.20 | 0.96 |
| Time invested | 21% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 8 of 16 closed calls (50%). In calls averaged −39.0%; out calls saw OPTT move −24.0% on average.
| Called | Call | Price | Until | OPTT moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | OUT | $0.300 | now | +140.0% | open |
| Dec 31, 2024 | IN | $1.02 | Dec 31, 2025 | −70.6% | ✕ wrong |
| Nov 30, 2021 | OUT | $2.02 | Dec 31, 2024 | −49.5% | ✓ right |
| Nov 30, 2020 | IN | $2.88 | Nov 30, 2021 | −29.9% | ✕ wrong |
| May 31, 2017 | OUT | $28.00 | Nov 30, 2020 | −89.7% | ✓ right |
| Dec 30, 2016 | IN | $59.00 | May 31, 2017 | −52.5% | ✕ wrong |
| Nov 30, 2016 | OUT | $67.40 | Dec 30, 2016 | −12.5% | ✓ right |
| Aug 31, 2016 | IN | $161.20 | Nov 30, 2016 | −58.2% | ✕ wrong |
| Aug 29, 2014 | OUT | $264.00 | Aug 31, 2016 | −38.9% | ✓ right |
| Feb 28, 2014 | IN | $812.00 | Aug 29, 2014 | −67.5% | ✕ wrong |
| Oct 31, 2012 | OUT | $488.00 | Feb 28, 2014 | +66.4% | ✕ wrong |
| Sep 28, 2012 | IN | $584.00 | Oct 31, 2012 | −16.4% | ✕ 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 17 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.