Momentum · month-end rule · Consumer & retail
12-1 Momentum on O'Reilly Automotive
What the play says
Latest reading: 12-1 return −17.6%
ORLY 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 ORLY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +18.0% | +20.4% | +19.6% | +16.2% |
| Total return | +3,490% | +5,523% | +143% | +111% |
| Worst drawdown | −47.1% | −45.3% | −23.0% | −23.3% |
| Volatility | 23.1% | 27.4% | 21.7% | 23.4% |
| Sharpe ratio | 0.75 | 0.75 | 0.76 | 0.60 |
| Time invested | 85% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 11 of 21 closed calls (52%). In calls averaged +59.1%; out calls saw ORLY move +6.5% on average.
| Called | Call | Price | Until | ORLY moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | $92.09 | now | −6.6% | open |
| May 29, 2026 | IN | $86.88 | Jun 30, 2026 | +6.0% | ✓ right |
| Mar 31, 2026 | OUT | $92.31 | May 29, 2026 | −5.9% | ✓ right |
| Dec 31, 2020 | IN | $30.17 | Mar 31, 2026 | +206.0% | ✓ right |
| Nov 30, 2020 | OUT | $29.50 | Dec 31, 2020 | +2.3% | ✕ wrong |
| May 29, 2020 | IN | $27.82 | Nov 30, 2020 | +6.0% | ✓ right |
| Mar 31, 2020 | OUT | $20.07 | May 29, 2020 | +38.6% | ✕ wrong |
| May 31, 2018 | IN | $17.96 | Mar 31, 2020 | +11.7% | ✓ right |
| May 31, 2017 | OUT | $16.14 | May 31, 2018 | +11.3% | ✕ wrong |
| Apr 28, 2017 | IN | $16.54 | May 31, 2017 | −2.4% | ✕ wrong |
| Mar 31, 2017 | OUT | $17.99 | Apr 28, 2017 | −8.0% | ✓ right |
| May 31, 2013 | IN | $7.26 | Mar 31, 2017 | +147.9% | ✓ 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 22 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.