Momentum · month-end rule · Financials
12-1 Momentum on PayPal
What the play says
Latest reading: 12-1 return −20.8%
PYPL 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 2016
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PYPL over exactly the same dates, after costs.
| Play, since 2016 | Hold, since 2016 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +13.1% | +4.3% | −6.7% | −26.1% |
| Total return | +251% | +53% | −29% | −78% |
| Worst drawdown | −50.7% | −87.3% | −44.1% | −85.6% |
| Volatility | 27.5% | 39.2% | 18.8% | 43.3% |
| Sharpe ratio | 0.50 | 0.24 | −0.47 | −0.56 |
| Time invested | 60% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 5 of 12 closed calls (42%). In calls averaged +28.1%; out calls saw PYPL move +0.2% on average.
| Called | Call | Price | Until | PYPL moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | OUT | $69.42 | now | −19.1% | open |
| May 30, 2025 | IN | $69.50 | Aug 29, 2025 | −0.1% | ✕ wrong |
| Apr 30, 2025 | OUT | $65.11 | May 30, 2025 | +6.7% | ✕ wrong |
| Aug 30, 2024 | IN | $71.63 | Apr 30, 2025 | −9.1% | ✕ wrong |
| Jun 28, 2024 | OUT | $57.39 | Aug 30, 2024 | +24.8% | ✕ wrong |
| May 31, 2024 | IN | $62.30 | Jun 28, 2024 | −7.9% | ✕ wrong |
| Dec 31, 2021 | OUT | $186.50 | May 31, 2024 | −66.6% | ✓ right |
| May 29, 2020 | IN | $153.30 | Dec 31, 2021 | +21.7% | ✓ right |
| Apr 30, 2020 | OUT | $121.64 | May 29, 2020 | +26.0% | ✕ wrong |
| Feb 28, 2019 | IN | $96.99 | Apr 30, 2020 | +25.4% | ✓ right |
| Jan 31, 2019 | OUT | $87.78 | Feb 28, 2019 | +10.5% | ✕ wrong |
| Aug 31, 2016 | IN | $36.74 | Jan 31, 2019 | +138.9% | ✓ 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.