Momentum · month-end rule · Industrials & materials
12-1 Momentum on ATS Corporation
What the play says
Latest reading: 12-1 return −26.6%
ATS 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 ATS over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.0% | +3.2% | −4.9% | −9.7% |
| Total return | +24% | +98% | −22% | −40% |
| Worst drawdown | −58.3% | −83.6% | −43.1% | −60.9% |
| Volatility | 27.1% | 40.7% | 24.9% | 39.7% |
| Sharpe ratio | 0.11 | 0.24 | −0.23 | −0.15 |
| Time invested | 56% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 12 of 38 closed calls (32%). In calls averaged +3.8%; out calls saw ATS move +7.7% on average.
| Called | Call | Price | Until | ATS moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$25.72 | now | −2.4% | open |
| Aug 31, 2026 | IN | C$26.72 | Sep 30, 2026 | −3.7% | ✕ wrong |
| Jun 30, 2026 | OUT | C$40.88 | Aug 31, 2026 | −34.6% | ✓ right |
| Mar 31, 2026 | IN | C$39.21 | Jun 30, 2026 | +4.3% | ✓ right |
| Sep 30, 2025 | OUT | C$36.41 | Mar 31, 2026 | +7.7% | ✕ wrong |
| Jul 31, 2025 | IN | C$42.05 | Sep 30, 2025 | −13.4% | ✕ wrong |
| Mar 28, 2024 | OUT | C$45.58 | Jul 31, 2025 | −7.7% | ✓ right |
| Feb 28, 2023 | IN | C$55.05 | Mar 28, 2024 | −17.2% | ✕ wrong |
| Jul 29, 2022 | OUT | C$40.55 | Feb 28, 2023 | +35.8% | ✕ wrong |
| Dec 31, 2020 | IN | C$22.35 | Jul 29, 2022 | +81.4% | ✓ right |
| Oct 30, 2020 | OUT | C$16.50 | Dec 31, 2020 | +35.5% | ✕ wrong |
| Sep 30, 2020 | IN | C$17.31 | Oct 30, 2020 | −4.7% | ✕ 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 39 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.