Momentum · month-end rule · Industrials & materials
12-1 Momentum on Air Canada
What the play says
Latest reading: 12-1 return 55.4%
AC 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 C$10,000 since 2011
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding AC over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.4% | +15.6% | −20.9% | −0.2% |
| Total return | +67% | +837% | −69% | −1% |
| Worst drawdown | −91.4% | −76.7% | −78.0% | −51.4% |
| Volatility | 34.7% | 45.7% | 21.1% | 36.2% |
| Sharpe ratio | 0.22 | 0.51 | −1.18 | 0.07 |
| Time invested | 59% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 4 of 20 closed calls (20%). In calls averaged +38.8%; out calls saw AC move +20.9% on average.
| Called | Call | Price | Until | AC moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | IN | C$24.74 | now | −7.6% | open |
| May 29, 2026 | OUT | C$22.07 | Jun 30, 2026 | +12.1% | ✕ wrong |
| Feb 27, 2026 | IN | C$20.63 | May 29, 2026 | +7.0% | ✓ right |
| Oct 31, 2025 | OUT | C$18.44 | Feb 27, 2026 | +11.9% | ✕ wrong |
| Jun 30, 2025 | IN | C$21.07 | Oct 31, 2025 | −12.5% | ✕ wrong |
| Mar 31, 2025 | OUT | C$14.17 | Jun 30, 2025 | +48.7% | ✕ wrong |
| Nov 29, 2024 | IN | C$24.96 | Mar 31, 2025 | −43.2% | ✕ wrong |
| May 31, 2024 | OUT | C$18.20 | Nov 29, 2024 | +37.1% | ✕ wrong |
| Apr 30, 2024 | IN | C$20.32 | May 31, 2024 | −10.4% | ✕ wrong |
| Oct 31, 2023 | OUT | C$16.73 | Apr 30, 2024 | +21.5% | ✕ wrong |
| Jun 30, 2023 | IN | C$24.99 | Oct 31, 2023 | −33.1% | ✕ wrong |
| Feb 28, 2022 | OUT | C$23.95 | Jun 30, 2023 | +4.3% | ✕ wrong |
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 21 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.