Momentum · month-end rule · Industrials & rentals
12-1 Momentum on WillScot
What the play says
Latest reading: 12-1 return −1.0%
WSC 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 2016
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding WSC over exactly the same dates, after costs.
| Play, since 2016 | Hold, since 2016 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.2% | +6.1% | −0.7% | −11.4% |
| Total return | +50% | +79% | −3% | −45% |
| Worst drawdown | −68.0% | −71.5% | −41.4% | −71.5% |
| Volatility | 31.0% | 42.0% | 23.2% | 41.8% |
| Sharpe ratio | 0.21 | 0.29 | −0.08 | −0.17 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 4 of 11 closed calls (36%). In calls averaged +12.8%; out calls saw WSC move +12.5% on average.
| Called | Call | Price | Until | WSC moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | $17.18 | now | +0.6% | open |
| Aug 31, 2026 | IN | $20.63 | Sep 30, 2026 | −16.7% | ✕ wrong |
| May 31, 2024 | OUT | $38.61 | Aug 31, 2026 | −46.6% | ✓ right |
| Mar 28, 2024 | IN | $45.54 | May 31, 2024 | −15.2% | ✕ wrong |
| Oct 31, 2023 | OUT | $38.59 | Mar 28, 2024 | +18.0% | ✕ wrong |
| Aug 31, 2020 | IN | $17.53 | Oct 31, 2023 | +120.2% | ✓ right |
| Apr 30, 2020 | OUT | $11.41 | Aug 31, 2020 | +53.6% | ✕ wrong |
| Oct 31, 2019 | IN | $15.43 | Apr 30, 2020 | −26.1% | ✕ wrong |
| Jun 28, 2019 | OUT | $14.73 | Oct 31, 2019 | +4.8% | ✕ wrong |
| May 31, 2019 | IN | $13.30 | Jun 28, 2019 | +10.8% | ✓ right |
| Jan 31, 2019 | OUT | $10.04 | May 31, 2019 | +32.5% | ✕ wrong |
| Nov 30, 2016 | IN | $9.65 | Jan 31, 2019 | +4.0% | ✓ 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 12 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.