Momentum · month-end rule · Software & devices
12-1 Momentum on Thomson Reuters
What the play says
Latest reading: 12-1 return −28.0%
TRI 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 TRI over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.9% | +8.2% | +8.2% | +0.1% |
| Total return | +535% | +452% | +48% | +0% |
| Worst drawdown | −37.5% | −62.9% | −29.7% | −62.9% |
| Volatility | 17.6% | 25.4% | 18.0% | 29.2% |
| Sharpe ratio | 0.47 | 0.37 | 0.32 | 0.02 |
| Time invested | 77% | 100% | ||
| Switches per year | 0.7 | 0 |
Every call, graded
Right on 10 of 15 closed calls (67%). In calls averaged +32.5%; out calls saw TRI move +4.5% on average.
| Called | Call | Price | Until | TRI moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | OUT | $146.87 | now | −28.4% | open |
| Dec 30, 2022 | IN | $105.44 | Oct 31, 2025 | +39.3% | ✓ right |
| Oct 31, 2022 | OUT | $97.85 | Dec 30, 2022 | +7.8% | ✕ wrong |
| Sep 30, 2022 | IN | $94.48 | Oct 31, 2022 | +3.6% | ✓ right |
| Jul 29, 2022 | OUT | $102.98 | Sep 30, 2022 | −8.3% | ✓ right |
| Oct 31, 2018 | IN | $39.94 | Jul 29, 2022 | +157.8% | ✓ right |
| Mar 29, 2018 | OUT | $32.83 | Oct 31, 2018 | +21.7% | ✕ wrong |
| Apr 29, 2016 | IN | $32.77 | Mar 29, 2018 | +0.2% | ✓ right |
| Feb 29, 2016 | OUT | $29.16 | Apr 29, 2016 | +12.4% | ✕ wrong |
| Sep 28, 2012 | IN | $20.22 | Feb 29, 2016 | +44.2% | ✓ right |
| Sep 30, 2011 | OUT | $18.12 | Sep 28, 2012 | +11.6% | ✕ wrong |
| Sep 30, 2009 | IN | $21.05 | Sep 30, 2011 | −13.9% | ✕ 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 16 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.