Momentum · month-end rule · Industrials & rentals
12-1 Momentum on United Rentals
What the play says
Latest reading: 12-1 return 9.6%
URI 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 URI over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +20.0% | +21.2% | +21.2% | +26.7% |
| Total return | +5,048% | +6,369% | +160% | +225% |
| Worst drawdown | −71.4% | −91.9% | −32.2% | −40.0% |
| Volatility | 38.1% | 48.4% | 34.7% | 39.1% |
| Sharpe ratio | 0.62 | 0.60 | 0.62 | 0.70 |
| Time invested | 73% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 10 of 21 closed calls (48%). In calls averaged +62.4%; out calls saw URI move +5.6% on average.
| Called | Call | Price | Until | URI moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | IN | $745.84 | now | +42.2% | open |
| Mar 31, 2025 | OUT | $618.87 | Jun 30, 2025 | +20.5% | ✕ wrong |
| Dec 30, 2022 | IN | $342.15 | Mar 31, 2025 | +80.9% | ✓ right |
| May 31, 2022 | OUT | $287.05 | Dec 30, 2022 | +19.2% | ✕ wrong |
| Apr 29, 2022 | IN | $304.70 | May 31, 2022 | −5.8% | ✕ wrong |
| Mar 31, 2022 | OUT | $341.95 | Apr 29, 2022 | −10.9% | ✓ right |
| May 29, 2020 | IN | $133.71 | Mar 31, 2022 | +155.7% | ✓ right |
| Apr 30, 2020 | OUT | $123.70 | May 29, 2020 | +8.1% | ✕ wrong |
| Oct 31, 2019 | IN | $128.58 | Apr 30, 2020 | −3.8% | ✕ wrong |
| Nov 30, 2018 | OUT | $112.76 | Oct 31, 2019 | +14.0% | ✕ wrong |
| Dec 30, 2016 | IN | $101.64 | Nov 30, 2018 | +10.9% | ✓ right |
| Nov 30, 2016 | OUT | $97.34 | Dec 30, 2016 | +4.4% | ✕ 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 22 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.