Momentum · month-end rule · Market indexes
12-1 Momentum on Russell 2000 index
What the play says
Latest reading: 12-1 return 21.3%
Russell 2000 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 Russell 2000 over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.2% | +7.0% | +0.2% | +4.4% |
| Total return | +143% | +335% | +1% | +24% |
| Worst drawdown | −42.6% | −59.9% | −32.6% | −33.0% |
| Volatility | 17.6% | 24.4% | 17.0% | 22.4% |
| Sharpe ratio | 0.22 | 0.33 | −0.13 | 0.14 |
| Time invested | 69% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 16 of 30 closed calls (53%). In calls averaged +6.0%; out calls saw Russell 2000 move +5.4% on average.
| Called | Call | Price | Until | Russell 2000 moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | 2,436.48 | now | +14.2% | open |
| Jul 31, 2025 | OUT | 2,211.65 | Sep 30, 2025 | +10.2% | ✕ wrong |
| Jun 30, 2025 | IN | 2,175.04 | Jul 31, 2025 | +1.7% | ✓ right |
| May 30, 2025 | OUT | 2,066.29 | Jun 30, 2025 | +5.3% | ✕ wrong |
| Dec 29, 2023 | IN | 2,027.07 | May 30, 2025 | +1.9% | ✓ right |
| Oct 31, 2023 | OUT | 1,662.28 | Dec 29, 2023 | +21.9% | ✕ wrong |
| Jun 30, 2023 | IN | 1,888.73 | Oct 31, 2023 | −12.0% | ✕ wrong |
| Feb 28, 2022 | OUT | 2,048.09 | Jun 30, 2023 | −7.8% | ✓ right |
| Dec 31, 2020 | IN | 1,974.86 | Feb 28, 2022 | +3.7% | ✓ right |
| Oct 30, 2020 | OUT | 1,538.48 | Dec 31, 2020 | +28.4% | ✕ wrong |
| Sep 30, 2020 | IN | 1,507.69 | Oct 30, 2020 | +2.0% | ✓ right |
| Mar 31, 2020 | OUT | 1,153.10 | Sep 30, 2020 | +30.8% | ✕ 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 31 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.