Momentum · month-end rule · Consumer & retail
12-1 Momentum on Alimentation Couche-Tard
What the play says
Latest reading: 12-1 return 13.3%
ATD 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 ATD over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +16.9% | +16.8% | +10.5% | +12.2% |
| Total return | +2,800% | +2,770% | +64% | +77% |
| Worst drawdown | −32.6% | −63.4% | −24.9% | −22.2% |
| Volatility | 25.2% | 29.7% | 20.4% | 24.1% |
| Sharpe ratio | 0.67 | 0.61 | 0.40 | 0.44 |
| Time invested | 76% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 15 of 30 closed calls (50%). In calls averaged +88.8%; out calls saw ATD move +1.8% on average.
| Called | Call | Price | Until | ATD moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | IN | C$78.46 | now | +3.2% | open |
| Nov 28, 2025 | OUT | C$75.52 | Mar 31, 2026 | +3.9% | ✕ wrong |
| Oct 31, 2025 | IN | C$70.53 | Nov 28, 2025 | +7.1% | ✓ right |
| Feb 28, 2025 | OUT | C$70.58 | Oct 31, 2025 | −0.1% | ✓ right |
| Dec 31, 2024 | IN | C$78.23 | Feb 28, 2025 | −9.8% | ✕ wrong |
| Oct 31, 2024 | OUT | C$71.08 | Dec 31, 2024 | +10.1% | ✕ wrong |
| Aug 31, 2022 | IN | C$54.19 | Oct 31, 2024 | +31.2% | ✓ right |
| Jul 29, 2022 | OUT | C$54.93 | Aug 31, 2022 | −1.3% | ✓ right |
| Aug 31, 2021 | IN | C$48.96 | Jul 29, 2022 | +12.2% | ✓ right |
| Jul 30, 2021 | OUT | C$48.53 | Aug 31, 2021 | +0.9% | ✕ wrong |
| Jun 30, 2021 | IN | C$43.83 | Jul 30, 2021 | +10.7% | ✓ right |
| May 31, 2021 | OUT | C$41.50 | Jun 30, 2021 | +5.6% | ✕ 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 31 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.