Momentum · month-end rule · Industrials & rentals
12-1 Momentum on Transcat
What the play says
Latest reading: 12-1 return 18.2%
TRNS 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 TRNS over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.2% | +15.3% | +4.5% | +4.5% |
| Total return | +572% | +2,074% | +25% | +24% |
| Worst drawdown | −62.8% | −63.9% | −47.9% | −63.9% |
| Volatility | 41.8% | 50.6% | 32.2% | 43.7% |
| Sharpe ratio | 0.38 | 0.50 | 0.18 | 0.23 |
| Time invested | 75% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 18 of 38 closed calls (47%). In calls averaged +14.2%; out calls saw TRNS move +8.4% on average.
| Called | Call | Price | Until | TRNS moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | IN | $85.37 | now | +1.8% | open |
| Apr 30, 2026 | OUT | $76.10 | Jul 31, 2026 | +12.2% | ✕ wrong |
| Mar 31, 2026 | IN | $73.45 | Apr 30, 2026 | +3.6% | ✓ right |
| Nov 29, 2024 | OUT | $104.89 | Mar 31, 2026 | −30.0% | ✓ right |
| Feb 28, 2023 | IN | $89.99 | Nov 29, 2024 | +16.6% | ✓ right |
| Nov 30, 2022 | OUT | $80.03 | Feb 28, 2023 | +12.4% | ✕ wrong |
| Sep 30, 2022 | IN | $75.69 | Nov 30, 2022 | +5.7% | ✓ right |
| Jul 29, 2022 | OUT | $62.32 | Sep 30, 2022 | +21.5% | ✕ wrong |
| Jan 29, 2021 | IN | $36.57 | Jul 29, 2022 | +70.4% | ✓ right |
| Oct 30, 2020 | OUT | $30.91 | Jan 29, 2021 | +18.3% | ✕ wrong |
| Jul 31, 2020 | IN | $27.90 | Oct 30, 2020 | +10.8% | ✓ right |
| Jun 30, 2020 | OUT | $25.86 | Jul 31, 2020 | +7.9% | ✕ 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 39 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.