Momentum · month-end rule · Software & devices
12-1 Momentum on Seagate Technology
What the play says
Latest reading: 12-1 return 252.7%
STX 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 STX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +18.9% | +23.3% | +68.2% | +61.4% |
| Total return | +4,118% | +9,252% | +1,228% | +982% |
| Worst drawdown | −76.0% | −88.7% | −40.0% | −57.0% |
| Volatility | 35.4% | 46.1% | 43.4% | 48.5% |
| Sharpe ratio | 0.61 | 0.65 | 1.33 | 1.15 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 11 of 28 closed calls (39%). In calls averaged +18.1%; out calls saw STX move +8.9% on average.
| Called | Call | Price | Until | STX moved | Result |
|---|---|---|---|---|---|
| Sep 29, 2023 | IN | $62.13 | now | +1,102.7% | open |
| Apr 29, 2022 | OUT | $72.21 | Sep 29, 2023 | −14.0% | ✓ right |
| Dec 31, 2020 | IN | $52.64 | Apr 29, 2022 | +37.2% | ✓ right |
| Aug 31, 2020 | OUT | $39.68 | Dec 31, 2020 | +32.7% | ✕ wrong |
| Sep 30, 2019 | IN | $42.74 | Aug 31, 2020 | −7.2% | ✕ wrong |
| Jan 31, 2019 | OUT | $33.82 | Sep 30, 2019 | +26.4% | ✕ wrong |
| Feb 28, 2018 | IN | $38.74 | Jan 31, 2019 | −12.7% | ✕ wrong |
| Jan 31, 2018 | OUT | $40.05 | Feb 28, 2018 | −3.3% | ✓ right |
| Dec 29, 2017 | IN | $30.36 | Jan 31, 2018 | +31.9% | ✓ right |
| Nov 30, 2017 | OUT | $27.57 | Dec 29, 2017 | +10.1% | ✕ wrong |
| Oct 31, 2017 | IN | $26.43 | Nov 30, 2017 | +4.3% | ✓ right |
| Sep 29, 2017 | OUT | $23.71 | Oct 31, 2017 | +11.5% | ✕ 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 29 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.