Momentum · month-end rule · Industrials & materials
12-1 Momentum on AtkinsRéalis
What the play says
Latest reading: 12-1 return −16.3%
ATRL 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 ATRL over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.6% | +8.0% | +21.6% | +21.2% |
| Total return | +631% | +433% | +164% | +160% |
| Worst drawdown | −58.9% | −74.0% | −31.9% | −38.6% |
| Volatility | 25.4% | 35.0% | 31.0% | 34.0% |
| Sharpe ratio | 0.42 | 0.35 | 0.66 | 0.62 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 14 of 25 closed calls (56%). In calls averaged +22.6%; out calls saw ATRL move +2.4% on average.
| Called | Call | Price | Until | ATRL moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | C$88.06 | now | −2.6% | open |
| Apr 28, 2023 | IN | C$31.06 | Jun 30, 2026 | +183.5% | ✓ right |
| Mar 31, 2023 | OUT | C$33.07 | Apr 28, 2023 | −6.1% | ✓ right |
| Feb 28, 2023 | IN | C$28.09 | Mar 31, 2023 | +17.7% | ✓ right |
| May 31, 2022 | OUT | C$25.17 | Feb 28, 2023 | +11.6% | ✕ wrong |
| Mar 31, 2021 | IN | C$26.63 | May 31, 2022 | −5.5% | ✕ wrong |
| Oct 30, 2020 | OUT | C$18.42 | Mar 31, 2021 | +44.6% | ✕ wrong |
| Jul 31, 2020 | IN | C$20.99 | Oct 30, 2020 | −12.2% | ✕ wrong |
| Jun 30, 2020 | OUT | C$22.63 | Jul 31, 2020 | −7.2% | ✓ right |
| May 29, 2020 | IN | C$20.62 | Jun 30, 2020 | +9.7% | ✓ right |
| Sep 28, 2018 | OUT | C$51.18 | May 29, 2020 | −59.7% | ✓ right |
| Jan 31, 2018 | IN | C$52.06 | Sep 28, 2018 | −1.7% | ✕ 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 26 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.