Momentum · month-end rule · Healthcare
12-1 Momentum on Pfizer
What the play says
Latest reading: 12-1 return 19.5%
PFE 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 PFE over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.9% | +5.5% | +6.8% | −2.3% |
| Total return | +131% | +218% | +39% | −11% |
| Worst drawdown | −35.2% | −59.0% | −30.2% | −59.0% |
| Volatility | 15.6% | 23.3% | 18.2% | 25.3% |
| Sharpe ratio | 0.21 | 0.27 | 0.25 | −0.11 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 9 of 31 closed calls (29%). In calls averaged +6.0%; out calls saw PFE move +4.4% on average.
| Called | Call | Price | Until | PFE moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | IN | $26.73 | now | +6.1% | open |
| Jan 30, 2026 | OUT | $25.56 | Feb 27, 2026 | +4.6% | ✕ wrong |
| Dec 31, 2025 | IN | $23.68 | Jan 30, 2026 | +8.0% | ✓ right |
| May 30, 2025 | OUT | $21.58 | Dec 31, 2025 | +9.7% | ✕ wrong |
| Jan 31, 2025 | IN | $23.91 | May 30, 2025 | −9.7% | ✕ wrong |
| Nov 29, 2024 | OUT | $23.24 | Jan 31, 2025 | +2.9% | ✕ wrong |
| Oct 31, 2024 | IN | $24.71 | Nov 29, 2024 | −5.9% | ✕ wrong |
| Nov 30, 2022 | OUT | $40.07 | Oct 31, 2024 | −38.3% | ✓ right |
| Dec 31, 2020 | IN | $27.43 | Nov 30, 2022 | +46.1% | ✓ right |
| Oct 30, 2020 | OUT | $24.83 | Dec 31, 2020 | +10.5% | ✕ wrong |
| Aug 31, 2020 | IN | $26.44 | Oct 30, 2020 | −6.1% | ✕ wrong |
| Aug 30, 2019 | OUT | $23.91 | Aug 31, 2020 | +10.6% | ✕ 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 32 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.