Momentum · month-end rule · Software & devices
12-1 Momentum on Roper Technologies
What the play says
Latest reading: 12-1 return −14.1%
ROP 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 ROP over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +13.1% | +13.2% | +1.6% | −3.6% |
| Total return | +1,350% | +1,367% | +8% | −17% |
| Worst drawdown | −35.2% | −50.0% | −25.1% | −46.5% |
| Volatility | 21.0% | 26.8% | 15.3% | 22.6% |
| Sharpe ratio | 0.61 | 0.53 | −0.07 | −0.21 |
| Time invested | 81% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 10 of 21 closed calls (48%). In calls averaged +33.0%; out calls saw ROP move +4.8% on average.
| Called | Call | Price | Until | ROP moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | OUT | $520.41 | now | −29.2% | open |
| Feb 28, 2025 | IN | $576.29 | Aug 29, 2025 | −9.7% | ✕ wrong |
| Jan 31, 2025 | OUT | $567.56 | Feb 28, 2025 | +1.5% | ✕ wrong |
| May 31, 2023 | IN | $443.39 | Jan 31, 2025 | +28.0% | ✓ right |
| Jun 30, 2022 | OUT | $382.82 | May 31, 2023 | +15.8% | ✕ wrong |
| Jun 30, 2020 | IN | $372.73 | Jun 30, 2022 | +2.7% | ✓ right |
| Apr 30, 2020 | OUT | $327.38 | Jun 30, 2020 | +13.8% | ✕ wrong |
| Feb 28, 2019 | IN | $308.53 | Apr 30, 2020 | +6.1% | ✓ right |
| Jan 31, 2019 | OUT | $270.03 | Feb 28, 2019 | +14.3% | ✕ wrong |
| Jan 31, 2017 | IN | $180.66 | Jan 31, 2019 | +49.5% | ✓ right |
| Oct 31, 2016 | OUT | $162.89 | Jan 31, 2017 | +10.9% | ✕ wrong |
| Jul 29, 2016 | IN | $159.86 | Oct 31, 2016 | +1.9% | ✓ 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 22 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.