Momentum · month-end rule · Micro caps
12-1 Momentum on Peraso
What the play says
Latest reading: 12-1 return −52.0%
PRSO 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 PRSO over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −8.1% | −41.7% | −19.5% | −72.4% |
| Total return | −84% | −100% | −66% | −100% |
| Worst drawdown | −91.6% | −100.0% | −71.2% | −99.9% |
| Volatility | 54.3% | 107.5% | 81.1% | 141.0% |
| Sharpe ratio | 0.04 | −0.05 | −0.04 | −0.36 |
| Time invested | 31% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 11 of 26 closed calls (42%). In calls averaged −12.8%; out calls saw PRSO move −20.0% on average.
| Called | Call | Price | Until | PRSO moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | $0.600 | now | −38.3% | open |
| Feb 27, 2026 | IN | $0.850 | Aug 31, 2026 | −29.4% | ✕ wrong |
| Dec 31, 2025 | OUT | $0.870 | Feb 27, 2026 | −2.3% | ✓ right |
| Nov 28, 2025 | IN | $0.930 | Dec 31, 2025 | −6.5% | ✕ wrong |
| Feb 28, 2022 | OUT | $100.00 | Nov 28, 2025 | −99.1% | ✓ right |
| Jan 29, 2021 | IN | $131.20 | Feb 28, 2022 | −23.8% | ✕ wrong |
| Nov 30, 2018 | OUT | $168.00 | Jan 29, 2021 | −21.9% | ✓ right |
| Oct 31, 2018 | IN | $200.00 | Nov 30, 2018 | −16.0% | ✕ wrong |
| Sep 28, 2018 | OUT | $552.00 | Oct 31, 2018 | −63.8% | ✓ right |
| Apr 30, 2018 | IN | $1,048.00 | Sep 28, 2018 | −47.3% | ✕ wrong |
| May 30, 2014 | OUT | $26,560 | Apr 30, 2018 | −96.1% | ✓ right |
| Apr 30, 2014 | IN | $31,280 | May 30, 2014 | −15.1% | ✕ 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 27 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.