Momentum · month-end rule · Media & telecom
12-1 Momentum on Take-Two Interactive
What the play says
Latest reading: 12-1 return −15.0%
TTWO 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 TTWO over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.0% | +10.3% | +7.0% | +3.3% |
| Total return | +1,062% | +744% | +40% | +17% |
| Worst drawdown | −62.2% | −80.8% | −31.9% | −51.5% |
| Volatility | 31.9% | 41.7% | 22.1% | 32.9% |
| Sharpe ratio | 0.45 | 0.40 | 0.24 | 0.15 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 19 of 29 closed calls (66%). In calls averaged +45.0%; out calls saw TTWO move −0.5% on average.
| Called | Call | Price | Until | TTWO moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | $207.50 | now | −3.5% | open |
| Jul 31, 2026 | IN | $242.92 | Sep 30, 2026 | −14.6% | ✕ wrong |
| Apr 30, 2026 | OUT | $213.76 | Jul 31, 2026 | +13.6% | ✕ wrong |
| Jun 30, 2023 | IN | $147.16 | Apr 30, 2026 | +45.3% | ✓ right |
| Dec 31, 2021 | OUT | $177.72 | Jun 30, 2023 | −17.2% | ✓ right |
| Nov 30, 2021 | IN | $165.88 | Dec 31, 2021 | +7.1% | ✓ right |
| Sep 30, 2021 | OUT | $154.07 | Nov 30, 2021 | +7.7% | ✕ wrong |
| Nov 29, 2019 | IN | $121.35 | Sep 30, 2021 | +27.0% | ✓ right |
| Aug 30, 2019 | OUT | $131.97 | Nov 29, 2019 | −8.0% | ✓ right |
| Jul 31, 2019 | IN | $122.52 | Aug 30, 2019 | +7.7% | ✓ right |
| Dec 31, 2018 | OUT | $102.94 | Jul 31, 2019 | +19.0% | ✕ wrong |
| Apr 30, 2013 | IN | $15.26 | Dec 31, 2018 | +574.6% | ✓ right |
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 30 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.