Momentum · month-end rule · Financials
12-1 Momentum on Brookfield Asset Management
What the play says
Latest reading: 12-1 return −6.3%
BAM 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 2024
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding BAM over exactly the same dates, after costs.
| Play, since 2024 | Hold, since 2024 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +17.6% | +12.0% | +17.6% | +12.0% |
| Total return | +57% | +37% | +57% | +37% |
| Worst drawdown | −30.5% | −30.8% | −30.5% | −30.8% |
| Volatility | 24.1% | 29.3% | 24.1% | 29.3% |
| Sharpe ratio | 0.62 | 0.39 | 0.62 | 0.39 |
| Time invested | 69% | 100% | ||
| Switches per year | 0.4 | 0 |
Every call, graded
Right on 1 of 1 closed calls (100%). In calls averaged +47.7%; out calls saw BAM move – on average.
| Called | Call | Price | Until | BAM moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | OUT | C$71.39 | now | −9.8% | open |
| Dec 29, 2023 | IN | C$48.32 | Nov 28, 2025 | +47.7% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 2 of 2 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.