Momentum · month-end rule · Software & devices
12-1 Momentum on Palo Alto Networks
What the play says
Latest reading: 12-1 return 87.7%
PANW 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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PANW over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.9% | +34.3% | +17.6% | +36.6% |
| Total return | +597% | +4,746% | +124% | +372% |
| Worst drawdown | −51.8% | −48.0% | −30.6% | −36.0% |
| Volatility | 33.8% | 39.6% | 38.6% | 43.2% |
| Sharpe ratio | 0.55 | 0.90 | 0.52 | 0.85 |
| Time invested | 72% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 10 of 27 closed calls (37%). In calls averaged +21.9%; out calls saw PANW move +17.0% on average.
| Called | Call | Price | Until | PANW moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | IN | $341.02 | now | +16.4% | open |
| Jan 30, 2026 | OUT | $176.97 | Jun 30, 2026 | +92.7% | ✕ wrong |
| Sep 30, 2025 | IN | $203.62 | Jan 30, 2026 | −13.1% | ✕ wrong |
| Aug 29, 2025 | OUT | $190.52 | Sep 30, 2025 | +6.9% | ✕ wrong |
| Apr 28, 2023 | IN | $91.23 | Aug 29, 2025 | +108.8% | ✓ right |
| Oct 31, 2022 | OUT | $85.80 | Apr 28, 2023 | +6.3% | ✕ wrong |
| Dec 31, 2020 | IN | $59.23 | Oct 31, 2022 | +44.8% | ✓ right |
| Nov 30, 2020 | OUT | $48.99 | Dec 31, 2020 | +20.9% | ✕ wrong |
| Jun 30, 2020 | IN | $38.28 | Nov 30, 2020 | +28.0% | ✓ right |
| Feb 28, 2020 | OUT | $30.77 | Jun 30, 2020 | +24.4% | ✕ wrong |
| Oct 31, 2019 | IN | $37.90 | Feb 28, 2020 | −18.8% | ✕ wrong |
| Aug 30, 2019 | OUT | $33.94 | Oct 31, 2019 | +11.7% | ✕ 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.