Momentum · month-end rule · Industrials & materials
12-1 Momentum on Rocket Lab
What the play says
Latest reading: 12-1 return 33.4%
RKLB 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 2021
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding RKLB over exactly the same dates, after costs.
| Play, since 2021 | Hold, since 2021 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +26.3% | +34.7% | +26.3% | +34.7% |
| Total return | +210% | +323% | +210% | +323% |
| Worst drawdown | −61.7% | −76.2% | −61.7% | −76.2% |
| Volatility | 67.6% | 79.2% | 67.6% | 79.2% |
| Sharpe ratio | 0.62 | 0.71 | 0.62 | 0.71 |
| Time invested | 64% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 1 of 6 closed calls (17%). In calls averaged −23.2%; out calls saw RKLB move +29.7% on average.
| Called | Call | Price | Until | RKLB moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2024 | IN | $9.73 | now | +560.0% | open |
| May 31, 2024 | OUT | $4.37 | Sep 30, 2024 | +122.7% | ✕ wrong |
| Nov 30, 2023 | IN | $4.38 | May 31, 2024 | −0.2% | ✕ wrong |
| Oct 31, 2023 | OUT | $4.23 | Nov 30, 2023 | +3.5% | ✕ wrong |
| Jun 30, 2023 | IN | $6.00 | Oct 31, 2023 | −29.5% | ✕ wrong |
| Feb 28, 2022 | OUT | $9.54 | Jun 30, 2023 | −37.1% | ✓ right |
| Nov 30, 2021 | IN | $15.86 | Feb 28, 2022 | −39.8% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 7 of 7 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.