Momentum · month-end rule · Software & devices
12-1 Momentum on Western Digital
What the play says
Latest reading: 12-1 return 275.9%
WDC 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 WDC over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.1% | +20.4% | +42.3% | +56.7% |
| Total return | +439% | +5,470% | +478% | +834% |
| Worst drawdown | −85.6% | −75.2% | −49.0% | −55.3% |
| Volatility | 36.8% | 47.4% | 44.8% | 53.3% |
| Sharpe ratio | 0.35 | 0.59 | 0.93 | 1.04 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 9 of 24 closed calls (38%). In calls averaged +6.6%; out calls saw WDC move +28.9% on average.
| Called | Call | Price | Until | WDC moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | IN | $78.45 | now | +385.3% | open |
| Mar 31, 2025 | OUT | $40.23 | Jul 31, 2025 | +95.0% | ✕ wrong |
| Aug 31, 2023 | IN | $33.85 | Mar 31, 2025 | +18.9% | ✓ right |
| Feb 28, 2022 | OUT | $38.32 | Aug 31, 2023 | −11.7% | ✓ right |
| Feb 26, 2021 | IN | $51.55 | Feb 28, 2022 | −25.7% | ✕ wrong |
| Jun 30, 2020 | OUT | $33.21 | Feb 26, 2021 | +55.2% | ✕ wrong |
| May 29, 2020 | IN | $33.37 | Jun 30, 2020 | −0.5% | ✕ wrong |
| Apr 30, 2020 | OUT | $34.66 | May 29, 2020 | −3.7% | ✓ right |
| Sep 30, 2019 | IN | $43.54 | Apr 30, 2020 | −20.4% | ✕ wrong |
| May 31, 2018 | OUT | $57.93 | Sep 30, 2019 | −24.8% | ✓ right |
| Dec 30, 2016 | IN | $45.79 | May 31, 2018 | +26.5% | ✓ right |
| Jul 31, 2015 | OUT | $55.00 | Dec 30, 2016 | −16.7% | ✓ 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 25 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.