Momentum · month-end rule · Industrials & materials
12-1 Momentum on Paccar
What the play says
Latest reading: 12-1 return 29.4%
PCAR 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 PCAR over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.0% | +11.5% | +13.7% | +18.3% |
| Total return | +431% | +953% | +89% | +131% |
| Worst drawdown | −42.1% | −66.2% | −26.2% | −27.7% |
| Volatility | 23.6% | 31.4% | 23.1% | 26.1% |
| Sharpe ratio | 0.37 | 0.45 | 0.51 | 0.63 |
| Time invested | 74% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 14 of 32 closed calls (44%). In calls averaged +12.7%; out calls saw PCAR move +5.0% on average.
| Called | Call | Price | Until | PCAR moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | $108.60 | now | −0.6% | open |
| Oct 31, 2025 | OUT | $96.03 | Dec 31, 2025 | +13.1% | ✕ wrong |
| Jul 31, 2025 | IN | $96.07 | Oct 31, 2025 | 0.0% | ✕ wrong |
| Mar 31, 2025 | OUT | $94.39 | Jul 31, 2025 | +1.8% | ✕ wrong |
| Nov 30, 2022 | IN | $60.92 | Mar 31, 2025 | +54.9% | ✓ right |
| Oct 31, 2022 | OUT | $55.50 | Nov 30, 2022 | +9.8% | ✕ wrong |
| Jun 30, 2022 | IN | $47.02 | Oct 31, 2022 | +18.0% | ✓ right |
| May 31, 2022 | OUT | $49.59 | Jun 30, 2022 | −5.2% | ✓ right |
| Feb 28, 2022 | IN | $52.22 | May 31, 2022 | −5.0% | ✕ wrong |
| Dec 31, 2021 | OUT | $50.02 | Feb 28, 2022 | +4.4% | ✕ wrong |
| Nov 30, 2021 | IN | $46.47 | Dec 31, 2021 | +7.6% | ✓ right |
| Aug 31, 2021 | OUT | $45.44 | Nov 30, 2021 | +2.3% | ✕ 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 33 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.