12-1 Month Momentum: does it work?

Ranking stocks on their trailing 12-month return (skipping the most recent month) and holding the winners is one of the most cited academic factors in finance.

The rule we tested. Ranking a stock universe on trailing 12-month return, skipping the most recent month, and holding the top-ranked names, monthly rebalance, the standard 12-1 academic momentum factor.

• Cross-sectional 12-1 month momentum (40 US stocks (AAPL, NVDA, AMZN, GOOGL, …)), 2016-09-15 to 2025-03-14, costs 0.05% per side: −14.1 pts/yr vs buy-and-hold across 88 trades, p=1.000, q=1.000 after correction: did not beat buy-and-hold.
• 12-1 cross-sectional momentum, top 4 of 40 large caps, monthly (40 US stocks (AAPL, NVDA, AMZN, GOOGL, …)), 2016-09-15 to 2025-03-14, costs 0.05% per side: +8.8 pts/yr vs buy-and-hold across 70 trades, p=0.137, q=1.000 after correction: beat buy-and-hold on the raw number, but not significantly.

Not reliably. US stocks −14.1 pts/yr vs buy-and-hold (p=1.000, q=1.000); US stocks +8.8 pts/yr vs buy-and-hold (p=0.137, q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it.

This is one line in a wider check: Tickfloor's research desk has run 401 strategies against buy-and-hold, and after correcting for how many were tested (Benjamini-Hochberg, 444 tests), 0 survived. A single win-rate claim like this one is exactly the kind of result that check exists to catch before anyone trades on it.

General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.

Does 12-1 month cross-sectional momentum work?

Not reliably. US stocks −14.1 pts/yr vs buy-and-hold (p=1.000, q=1.000); US stocks +8.8 pts/yr vs buy-and-hold (p=0.137, q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it.

What exact rule did Tickfloor test?

Ranking a stock universe on trailing 12-month return, skipping the most recent month, and holding the top-ranked names, monthly rebalance, the standard 12-1 academic momentum factor.

Is this financial advice?

No. This measures a publicly claimed strategy rule, not a recommendation. General information only, not personal advice.

See the full numbers on the Equity factors, Momentum family pages, or the full method and every result.

Other rules we've tested: Dual Momentum (GEM), Fear & Greed Index, Crypto Weekend Effect.

See a full worked example, free, no account. Or start lesson 1 of the course, also free.