Momentum · month-end rule · Industrials & materials
12-1 Momentum on Aecon Group
What the play says
Latest reading: 12-1 return 85.1%
ARE 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 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ARE over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.4% | +13.3% | +34.7% | +26.7% |
| Total return | +370% | +1,380% | +341% | +225% |
| Worst drawdown | −77.9% | −74.9% | −46.9% | −56.2% |
| Volatility | 27.4% | 35.9% | 34.5% | 39.9% |
| Sharpe ratio | 0.33 | 0.48 | 0.93 | 0.70 |
| Time invested | 62% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 13 of 36 closed calls (36%). In calls averaged +0.1%; out calls saw ARE move +8.4% on average.
| Called | Call | Price | Until | ARE moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2023 | IN | C$10.99 | now | +374.3% | open |
| Feb 28, 2022 | OUT | C$14.27 | Jun 30, 2023 | −23.0% | ✓ right |
| Feb 26, 2021 | IN | C$14.36 | Feb 28, 2022 | −0.6% | ✕ wrong |
| Jan 31, 2020 | OUT | C$12.85 | Feb 26, 2021 | +11.8% | ✕ wrong |
| Nov 29, 2019 | IN | C$13.58 | Jan 31, 2020 | −5.4% | ✕ wrong |
| Oct 31, 2019 | OUT | C$13.48 | Nov 29, 2019 | +0.8% | ✕ wrong |
| May 31, 2019 | IN | C$12.76 | Oct 31, 2019 | +5.6% | ✓ right |
| Apr 30, 2019 | OUT | C$13.97 | May 31, 2019 | −8.7% | ✓ right |
| Mar 29, 2019 | IN | C$12.72 | Apr 30, 2019 | +9.8% | ✓ right |
| Oct 31, 2018 | OUT | C$13.60 | Mar 29, 2019 | −6.5% | ✓ right |
| Sep 28, 2018 | IN | C$11.66 | Oct 31, 2018 | +16.6% | ✓ right |
| Aug 31, 2018 | OUT | C$12.37 | Sep 28, 2018 | −5.7% | ✓ 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 37 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.