Momentum · month-end rule · Consumer & retail
12-1 Momentum on Ross Stores
What the play says
Latest reading: 12-1 return 50.9%
ROST 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 ROST over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.5% | +18.3% | +7.7% | +17.5% |
| Total return | +765% | +3,744% | +45% | +124% |
| Worst drawdown | −52.2% | −51.4% | −25.2% | −40.7% |
| Volatility | 25.4% | 30.2% | 20.0% | 29.5% |
| Sharpe ratio | 0.45 | 0.65 | 0.28 | 0.57 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 15 of 40 closed calls (38%). In calls averaged +16.0%; out calls saw ROST move +8.8% on average.
| Called | Call | Price | Until | ROST moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | $157.61 | now | +43.2% | open |
| Jun 30, 2025 | OUT | $126.19 | Oct 31, 2025 | +24.9% | ✕ wrong |
| May 30, 2025 | IN | $138.17 | Jun 30, 2025 | −8.7% | ✕ wrong |
| Mar 31, 2025 | OUT | $126.04 | May 30, 2025 | +9.6% | ✕ wrong |
| Dec 29, 2023 | IN | $134.72 | Mar 31, 2025 | −6.4% | ✕ wrong |
| Nov 30, 2023 | OUT | $126.60 | Dec 29, 2023 | +6.4% | ✕ wrong |
| Dec 30, 2022 | IN | $111.67 | Nov 30, 2023 | +13.4% | ✓ right |
| Feb 28, 2022 | OUT | $86.75 | Dec 30, 2022 | +28.7% | ✕ wrong |
| Jan 31, 2022 | IN | $92.79 | Feb 28, 2022 | −6.5% | ✕ wrong |
| Dec 31, 2021 | OUT | $108.48 | Jan 31, 2022 | −14.5% | ✓ right |
| Jan 29, 2021 | IN | $104.62 | Dec 31, 2021 | +3.7% | ✓ right |
| Apr 30, 2020 | OUT | $85.88 | Jan 29, 2021 | +21.8% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 41 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.