Momentum · month-end rule · Consumer & retail
12-1 Momentum on Aritzia
What the play says
Latest reading: 12-1 return 56.9%
ATZ 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 2017
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ATZ over exactly the same dates, after costs.
| Play, since 2017 | Hold, since 2017 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +23.8% | +34.2% | +27.4% | +25.5% |
| Total return | +568% | +1,273% | +234% | +210% |
| Worst drawdown | −59.5% | −64.8% | −46.8% | −64.8% |
| Volatility | 36.7% | 44.9% | 37.2% | 47.6% |
| Sharpe ratio | 0.69 | 0.82 | 0.73 | 0.64 |
| Time invested | 67% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 9 of 17 closed calls (53%). In calls averaged +9.5%; out calls saw ATZ move +11.1% on average.
| Called | Call | Price | Until | ATZ moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2024 | IN | C$45.32 | now | +224.8% | open |
| Jun 28, 2024 | OUT | C$38.72 | Jul 31, 2024 | +17.0% | ✕ wrong |
| May 31, 2024 | IN | C$34.05 | Jun 28, 2024 | +13.7% | ✓ right |
| Jun 30, 2023 | OUT | C$36.78 | May 31, 2024 | −7.4% | ✓ right |
| May 31, 2023 | IN | C$34.77 | Jun 30, 2023 | +5.8% | ✓ right |
| Dec 30, 2022 | OUT | C$47.35 | May 31, 2023 | −26.6% | ✓ right |
| Nov 30, 2022 | IN | C$51.17 | Dec 30, 2022 | −7.5% | ✕ wrong |
| Oct 31, 2022 | OUT | C$52.84 | Nov 30, 2022 | −3.2% | ✓ right |
| Sep 30, 2022 | IN | C$45.39 | Oct 31, 2022 | +16.4% | ✓ right |
| Jun 30, 2022 | OUT | C$34.85 | Sep 30, 2022 | +30.2% | ✕ wrong |
| Nov 30, 2020 | IN | C$23.33 | Jun 30, 2022 | +49.4% | ✓ right |
| Oct 30, 2020 | OUT | C$20.12 | Nov 30, 2020 | +16.0% | ✕ 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 18 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.