Momentum · month-end rule · Energy & power
12-1 Momentum on Exxon Mobil
What the play says
Latest reading: 12-1 return 46.9%
XOM 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 XOM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.0% | +9.2% | +24.4% | +27.9% |
| Total return | +336% | +571% | +196% | +240% |
| Worst drawdown | −37.3% | −62.4% | −20.5% | −20.5% |
| Volatility | 18.3% | 26.5% | 24.6% | 26.5% |
| Sharpe ratio | 0.37 | 0.40 | 0.86 | 0.92 |
| Time invested | 64% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 14 of 34 closed calls (41%). In calls averaged +9.4%; out calls saw XOM move +3.3% on average.
| Called | Call | Price | Until | XOM moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | $117.97 | now | +47.6% | open |
| Nov 28, 2025 | OUT | $113.64 | Dec 31, 2025 | +3.8% | ✕ wrong |
| Sep 30, 2025 | IN | $109.57 | Nov 28, 2025 | +3.7% | ✓ right |
| May 30, 2025 | OUT | $98.50 | Sep 30, 2025 | +11.2% | ✕ wrong |
| Apr 30, 2025 | IN | $100.78 | May 30, 2025 | −2.3% | ✕ wrong |
| Mar 31, 2025 | OUT | $113.47 | Apr 30, 2025 | −11.2% | ✓ right |
| Apr 30, 2024 | IN | $109.16 | Mar 31, 2025 | +4.0% | ✓ right |
| Nov 30, 2023 | OUT | $93.95 | Apr 30, 2024 | +16.2% | ✕ wrong |
| Mar 31, 2021 | IN | $45.49 | Nov 30, 2023 | +106.5% | ✓ right |
| Jan 31, 2020 | OUT | $46.09 | Mar 31, 2021 | −1.3% | ✓ right |
| Dec 31, 2019 | IN | $51.78 | Jan 31, 2020 | −11.0% | ✕ wrong |
| Jun 28, 2019 | OUT | $55.49 | Dec 31, 2019 | −6.7% | ✓ 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 35 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.