Momentum · month-end rule · Consumer & retail
12-1 Momentum on PDD Holdings
What the play says
Latest reading: 12-1 return −36.4%
PDD 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 2019
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PDD over exactly the same dates, after costs.
| Play, since 2019 | Hold, since 2019 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.7% | +19.6% | −5.8% | −3.4% |
| Total return | +121% | +262% | −26% | −16% |
| Worst drawdown | −75.4% | −87.4% | −50.4% | −74.6% |
| Volatility | 48.3% | 66.7% | 37.4% | 66.0% |
| Sharpe ratio | 0.41 | 0.55 | −0.07 | 0.21 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 5 of 12 closed calls (42%). In calls averaged +20.9%; out calls saw PDD move +11.2% on average.
| Called | Call | Price | Until | PDD moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | $76.28 | now | +7.4% | open |
| May 29, 2026 | IN | $84.44 | Jun 30, 2026 | −9.7% | ✕ wrong |
| Feb 27, 2026 | OUT | $103.73 | May 29, 2026 | −18.6% | ✓ right |
| Oct 31, 2025 | IN | $134.87 | Feb 27, 2026 | −23.1% | ✕ wrong |
| Sep 30, 2025 | OUT | $132.17 | Oct 31, 2025 | +2.0% | ✕ wrong |
| Aug 29, 2025 | IN | $120.22 | Sep 30, 2025 | +9.9% | ✓ right |
| Nov 29, 2024 | OUT | $96.56 | Aug 29, 2025 | +24.5% | ✕ wrong |
| Oct 31, 2024 | IN | $120.59 | Nov 29, 2024 | −19.9% | ✕ wrong |
| Sep 30, 2024 | OUT | $134.81 | Oct 31, 2024 | −10.5% | ✓ right |
| Dec 30, 2022 | IN | $81.55 | Sep 30, 2024 | +65.3% | ✓ right |
| Nov 30, 2021 | OUT | $66.50 | Dec 30, 2022 | +22.6% | ✕ wrong |
| Aug 30, 2019 | IN | $32.77 | Nov 30, 2021 | +102.9% | ✓ 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 13 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.