Momentum · month-end rule · Big tech
12-1 Momentum on Tesla
What the play says
Latest reading: 12-1 return −17.3%
TSLA 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 2011
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TSLA over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +24.0% | +41.3% | +7.2% | +6.8% |
| Total return | +2,554% | +19,295% | +41% | +39% |
| Worst drawdown | −74.6% | −73.6% | −53.8% | −73.6% |
| Volatility | 49.1% | 56.9% | 47.9% | 59.9% |
| Sharpe ratio | 0.65 | 0.86 | 0.31 | 0.35 |
| Time invested | 69% | 100% | ||
| Switches per year | 2.2 | 0 |
Every call, graded
Right on 14 of 33 closed calls (42%). In calls averaged +51.3%; out calls saw TSLA move +19.0% on average.
| Called | Call | Price | Until | TSLA moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | $367.95 | now | +2.0% | open |
| Oct 31, 2024 | IN | $249.85 | Aug 31, 2026 | +47.3% | ✓ right |
| May 31, 2024 | OUT | $178.08 | Oct 31, 2024 | +40.3% | ✕ wrong |
| Apr 30, 2024 | IN | $183.28 | May 31, 2024 | −2.8% | ✕ wrong |
| Feb 29, 2024 | OUT | $201.88 | Apr 30, 2024 | −9.2% | ✓ right |
| Oct 31, 2023 | IN | $200.84 | Feb 29, 2024 | +0.5% | ✓ right |
| Oct 31, 2022 | OUT | $227.54 | Oct 31, 2023 | −11.7% | ✓ right |
| Aug 31, 2022 | IN | $275.61 | Oct 31, 2022 | −17.4% | ✕ wrong |
| Jul 29, 2022 | OUT | $297.15 | Aug 31, 2022 | −7.2% | ✓ right |
| Jan 31, 2020 | IN | $43.37 | Jul 29, 2022 | +585.1% | ✓ right |
| Apr 30, 2019 | OUT | $15.91 | Jan 31, 2020 | +172.6% | ✕ wrong |
| Mar 29, 2019 | IN | $18.66 | Apr 30, 2019 | −14.7% | ✕ 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 34 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.