Momentum · month-end rule · Consumer & retail
12-1 Momentum on Walmart
What the play says
Latest reading: 12-1 return 2.6%
WMT 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 WMT over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.5% | +11.1% | +16.1% | +21.1% |
| Total return | +482% | +878% | +110% | +159% |
| Worst drawdown | −30.3% | −36.4% | −30.3% | −25.7% |
| Volatility | 18.5% | 20.6% | 20.8% | 22.6% |
| Sharpe ratio | 0.44 | 0.53 | 0.64 | 0.79 |
| Time invested | 77% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 14 of 31 closed calls (45%). In calls averaged +7.1%; out calls saw WMT move +4.1% on average.
| Called | Call | Price | Until | WMT moved | Result |
|---|---|---|---|---|---|
| May 31, 2023 | IN | $47.27 | now | +137.5% | open |
| Mar 31, 2023 | OUT | $47.28 | May 31, 2023 | 0.0% | ✓ right |
| Nov 30, 2022 | IN | $48.49 | Mar 31, 2023 | −2.5% | ✕ wrong |
| Jun 30, 2022 | OUT | $38.51 | Nov 30, 2022 | +25.9% | ✕ wrong |
| Jan 31, 2022 | IN | $43.95 | Jun 30, 2022 | −12.4% | ✕ wrong |
| Nov 30, 2021 | OUT | $44.03 | Jan 31, 2022 | −0.2% | ✓ right |
| Feb 28, 2019 | IN | $29.53 | Nov 30, 2021 | +49.1% | ✓ right |
| Jan 31, 2019 | OUT | $28.59 | Feb 28, 2019 | +3.3% | ✕ wrong |
| Jun 30, 2016 | IN | $20.46 | Jan 31, 2019 | +39.8% | ✓ right |
| Jul 31, 2015 | OUT | $19.57 | Jun 30, 2016 | +4.5% | ✕ wrong |
| Dec 31, 2014 | IN | $23.07 | Jul 31, 2015 | −15.1% | ✕ wrong |
| Nov 28, 2014 | OUT | $23.38 | Dec 31, 2014 | −1.3% | ✓ 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 32 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.