Momentum · month-end rule · Healthcare
12-1 Momentum on Vertex Pharmaceuticals
What the play says
Latest reading: 12-1 return 39.0%
VRTX 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 VRTX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.1% | +19.3% | +13.3% | +21.9% |
| Total return | +707% | +4,431% | +86% | +168% |
| Worst drawdown | −75.1% | −67.7% | −23.2% | −29.1% |
| Volatility | 35.8% | 44.9% | 23.7% | 29.0% |
| Sharpe ratio | 0.39 | 0.57 | 0.49 | 0.70 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 15 of 40 closed calls (38%). In calls averaged +21.0%; out calls saw VRTX move +10.9% on average.
| Called | Call | Price | Until | VRTX moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | IN | $496.73 | now | −2.3% | open |
| Apr 30, 2026 | OUT | $427.38 | Jun 30, 2026 | +16.2% | ✕ wrong |
| Mar 31, 2026 | IN | $446.54 | Apr 30, 2026 | −4.3% | ✕ wrong |
| Jan 30, 2026 | OUT | $469.90 | Mar 31, 2026 | −5.0% | ✓ right |
| Dec 31, 2025 | IN | $453.36 | Jan 30, 2026 | +3.6% | ✓ right |
| Jun 30, 2025 | OUT | $445.20 | Dec 31, 2025 | +1.8% | ✕ wrong |
| Feb 28, 2025 | IN | $479.79 | Jun 30, 2025 | −7.2% | ✕ wrong |
| Jan 31, 2025 | OUT | $461.68 | Feb 28, 2025 | +3.9% | ✕ wrong |
| Feb 28, 2022 | IN | $230.02 | Jan 31, 2025 | +100.7% | ✓ right |
| Mar 31, 2021 | OUT | $214.89 | Feb 28, 2022 | +7.0% | ✕ wrong |
| Dec 31, 2020 | IN | $236.34 | Mar 31, 2021 | −9.1% | ✕ wrong |
| Nov 30, 2020 | OUT | $227.75 | Dec 31, 2020 | +3.8% | ✕ 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 41 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.