Momentum · month-end rule · Industrials & materials
12-1 Momentum on Paychex
What the play says
Latest reading: 12-1 return 4.9%
PAYX 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 PAYX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.1% | +9.5% | +1.4% | +1.1% |
| Total return | +137% | +611% | +7% | +6% |
| Worst drawdown | −48.3% | −53.3% | −30.4% | −45.0% |
| Volatility | 18.6% | 24.1% | 19.2% | 25.0% |
| Sharpe ratio | 0.21 | 0.42 | −0.03 | 0.02 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 12 of 35 closed calls (34%). In calls averaged +6.2%; out calls saw PAYX move +7.7% on average.
| Called | Call | Price | Until | PAYX moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | $98.50 | now | +7.9% | open |
| Oct 31, 2025 | OUT | $112.09 | Sep 30, 2026 | −12.1% | ✓ right |
| Aug 30, 2024 | IN | $122.21 | Oct 31, 2025 | −8.3% | ✕ wrong |
| Jul 31, 2024 | OUT | $118.30 | Aug 30, 2024 | +3.3% | ✕ wrong |
| Dec 29, 2023 | IN | $108.39 | Jul 31, 2024 | +9.1% | ✓ right |
| Nov 30, 2023 | OUT | $110.99 | Dec 29, 2023 | −2.3% | ✓ right |
| Aug 31, 2023 | IN | $110.37 | Nov 30, 2023 | +0.6% | ✓ right |
| Feb 28, 2023 | OUT | $98.15 | Aug 31, 2023 | +12.4% | ✕ wrong |
| Jan 31, 2023 | IN | $102.31 | Feb 28, 2023 | −4.1% | ✕ wrong |
| Dec 30, 2022 | OUT | $102.05 | Jan 31, 2023 | +0.3% | ✕ wrong |
| Nov 30, 2022 | IN | $109.53 | Dec 30, 2022 | −6.8% | ✕ wrong |
| Oct 31, 2022 | OUT | $103.76 | Nov 30, 2022 | +5.6% | ✕ 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 36 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.