Momentum · month-end rule · Industrials & rentals
12-1 Momentum on Ryder System
What the play says
Latest reading: 12-1 return 31.9%
R 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 R over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.3% | +10.7% | +28.1% | +27.1% |
| Total return | +273% | +805% | +242% | +230% |
| Worst drawdown | −61.9% | −74.0% | −30.0% | −30.0% |
| Volatility | 26.2% | 36.6% | 31.0% | 32.6% |
| Sharpe ratio | 0.30 | 0.41 | 0.83 | 0.78 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 13 of 32 closed calls (41%). In calls averaged +2.8%; out calls saw R move +7.3% on average.
| Called | Call | Price | Until | R moved | Result |
|---|---|---|---|---|---|
| Dec 30, 2022 | IN | $76.84 | now | +211.5% | open |
| Sep 30, 2022 | OUT | $68.93 | Dec 30, 2022 | +11.5% | ✕ wrong |
| Aug 31, 2022 | IN | $69.80 | Sep 30, 2022 | −1.2% | ✕ wrong |
| Jul 29, 2022 | OUT | $70.98 | Aug 31, 2022 | −1.7% | ✓ right |
| Jun 30, 2022 | IN | $64.40 | Jul 29, 2022 | +10.2% | ✓ right |
| May 31, 2022 | OUT | $72.52 | Jun 30, 2022 | −11.2% | ✓ right |
| Dec 31, 2020 | IN | $53.50 | May 31, 2022 | +35.5% | ✓ right |
| Jan 31, 2020 | OUT | $39.13 | Dec 31, 2020 | +36.7% | ✕ wrong |
| Dec 31, 2019 | IN | $44.53 | Jan 31, 2020 | −12.1% | ✕ wrong |
| Sep 28, 2018 | OUT | $57.00 | Dec 31, 2019 | −21.9% | ✓ right |
| Jul 31, 2018 | IN | $60.66 | Sep 28, 2018 | −6.0% | ✕ wrong |
| Jun 29, 2018 | OUT | $55.67 | Jul 31, 2018 | +9.0% | ✕ 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 33 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.