Momentum · month-end rule · Consumer & retail
12-1 Momentum on PepsiCo
What the play says
Latest reading: 12-1 return 2.9%
PEP 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 PEP over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.3% | +7.1% | −0.8% | −1.1% |
| Total return | +277% | +341% | −4% | −5% |
| Worst drawdown | −29.1% | −40.4% | −29.1% | −30.3% |
| Volatility | 15.2% | 18.4% | 14.2% | 19.0% |
| Sharpe ratio | 0.36 | 0.37 | −0.26 | −0.16 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 16 of 30 closed calls (53%). In calls averaged +10.1%; out calls saw PEP move +1.9% on average.
| Called | Call | Price | Until | PEP moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | $126.72 | now | +0.5% | open |
| Aug 31, 2026 | OUT | $138.86 | Sep 30, 2026 | −8.7% | ✓ right |
| Feb 27, 2026 | IN | $164.73 | Aug 31, 2026 | −15.7% | ✕ wrong |
| Jan 30, 2026 | OUT | $149.09 | Feb 27, 2026 | +10.5% | ✕ wrong |
| Dec 31, 2025 | IN | $139.28 | Jan 30, 2026 | +7.0% | ✓ right |
| Dec 31, 2024 | OUT | $141.90 | Dec 31, 2025 | −1.8% | ✓ right |
| Sep 30, 2024 | IN | $157.34 | Dec 31, 2024 | −9.8% | ✕ wrong |
| Feb 29, 2024 | OUT | $150.64 | Sep 30, 2024 | +4.4% | ✕ wrong |
| Jan 31, 2024 | IN | $152.39 | Feb 29, 2024 | −1.1% | ✕ wrong |
| Oct 31, 2023 | OUT | $146.52 | Jan 31, 2024 | +4.0% | ✕ wrong |
| May 29, 2020 | IN | $107.04 | Oct 31, 2023 | +36.9% | ✓ right |
| Apr 30, 2020 | OUT | $107.64 | May 29, 2020 | −0.6% | ✓ 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 31 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.