Momentum · month-end rule · Software & devices
12-1 Momentum on Workday
What the play says
Latest reading: 12-1 return −18.0%
WDAY 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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding WDAY over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.4% | +7.2% | −2.1% | −7.0% |
| Total return | +74% | +147% | −10% | −30% |
| Worst drawdown | −66.0% | −63.4% | −35.4% | −63.4% |
| Volatility | 28.6% | 40.2% | 21.0% | 41.6% |
| Sharpe ratio | 0.23 | 0.33 | −0.17 | −0.06 |
| Time invested | 62% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 10 of 21 closed calls (48%). In calls averaged +8.2%; out calls saw WDAY move +7.3% on average.
| Called | Call | Price | Until | WDAY moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | OUT | $215.62 | now | −13.7% | open |
| Oct 31, 2025 | IN | $239.92 | Nov 28, 2025 | −10.1% | ✕ wrong |
| Aug 29, 2025 | OUT | $230.82 | Oct 31, 2025 | +3.9% | ✕ wrong |
| May 30, 2025 | IN | $247.71 | Aug 29, 2025 | −6.8% | ✕ wrong |
| Nov 29, 2024 | OUT | $249.99 | May 30, 2025 | −0.9% | ✓ right |
| Sep 30, 2024 | IN | $244.41 | Nov 29, 2024 | +2.3% | ✓ right |
| Jun 28, 2024 | OUT | $223.56 | Sep 30, 2024 | +9.3% | ✕ wrong |
| May 31, 2023 | IN | $211.99 | Jun 28, 2024 | +5.5% | ✓ right |
| Mar 31, 2022 | OUT | $239.46 | May 31, 2023 | −11.5% | ✓ right |
| Sep 30, 2021 | IN | $249.89 | Mar 31, 2022 | −4.2% | ✕ wrong |
| Aug 31, 2021 | OUT | $273.16 | Sep 30, 2021 | −8.5% | ✓ right |
| Aug 31, 2020 | IN | $239.71 | Aug 31, 2021 | +14.0% | ✓ 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 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.