Momentum · month-end rule · Industrials & materials
12-1 Momentum on SpaceX
What the play says
SPCX 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.
The record
The play against buying and holding SPCX over exactly the same dates, after costs.
| Play, since – | Hold, since – | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | – | – | – | – |
| Total return | – | – | – | – |
| Worst drawdown | – | – | – | – |
| Volatility | – | – | – | – |
| Sharpe ratio | – | – | – | – |
| Time invested | – | 100% | ||
| Switches per year | 0.0 | 0 |
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.