Momentum · month-end rule · Healthcare
12-1 Momentum on Regeneron
What the play says
Latest reading: 12-1 return 42.8%
REGN 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 REGN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +17.0% | +24.0% | +0.7% | +6.8% |
| Total return | +2,888% | +10,429% | +3% | +39% |
| Worst drawdown | −71.9% | −59.7% | −51.9% | −59.7% |
| Volatility | 35.0% | 43.8% | 22.8% | 31.1% |
| Sharpe ratio | 0.57 | 0.67 | −0.02 | 0.25 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 16 of 37 closed calls (43%). In calls averaged +76.2%; out calls saw REGN move +8.8% on average.
| Called | Call | Price | Until | REGN moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | $768.89 | now | −2.1% | open |
| Dec 31, 2024 | OUT | $705.67 | Dec 31, 2025 | +9.0% | ✕ wrong |
| Oct 31, 2022 | IN | $741.75 | Dec 31, 2024 | −4.9% | ✕ wrong |
| Aug 31, 2022 | OUT | $575.63 | Oct 31, 2022 | +28.9% | ✕ wrong |
| Sep 30, 2021 | IN | $599.52 | Aug 31, 2022 | −4.0% | ✕ wrong |
| Mar 31, 2021 | OUT | $468.72 | Sep 30, 2021 | +27.9% | ✕ wrong |
| Mar 31, 2020 | IN | $483.73 | Mar 31, 2021 | −3.1% | ✕ wrong |
| Jun 28, 2019 | OUT | $310.07 | Mar 31, 2020 | +56.0% | ✕ wrong |
| Jan 31, 2019 | IN | $425.26 | Jun 28, 2019 | −27.1% | ✕ wrong |
| Nov 30, 2018 | OUT | $362.23 | Jan 31, 2019 | +17.4% | ✕ wrong |
| Oct 31, 2018 | IN | $336.07 | Nov 30, 2018 | +7.8% | ✓ right |
| Feb 28, 2018 | OUT | $317.44 | Oct 31, 2018 | +5.9% | ✕ 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 38 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.