Momentum · month-end rule · Software & devices
12-1 Momentum on BlackBerry
What the play says
Latest reading: 12-1 return 66.9%
BB 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 BB over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −7.8% | −4.3% | −16.7% | −0.2% |
| Total return | −83% | −61% | −60% | −1% |
| Worst drawdown | −95.6% | −98.1% | −71.2% | −80.1% |
| Volatility | 35.4% | 56.3% | 36.1% | 57.2% |
| Sharpe ratio | −0.10 | 0.17 | −0.43 | 0.21 |
| Time invested | 43% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 13 of 36 closed calls (36%). In calls averaged −6.2%; out calls saw BB move +16.8% on average.
| Called | Call | Price | Until | BB moved | Result |
|---|---|---|---|---|---|
| May 29, 2026 | IN | C$12.36 | now | −2.2% | open |
| Jan 30, 2026 | OUT | C$4.85 | May 29, 2026 | +154.8% | ✕ wrong |
| Jan 31, 2025 | IN | C$6.42 | Jan 30, 2026 | −24.5% | ✕ wrong |
| Jan 31, 2024 | OUT | C$3.77 | Jan 31, 2025 | +70.3% | ✕ wrong |
| Dec 29, 2023 | IN | C$4.70 | Jan 31, 2024 | −19.8% | ✕ wrong |
| Nov 30, 2023 | OUT | C$4.98 | Dec 29, 2023 | −5.6% | ✓ right |
| Sep 29, 2023 | IN | C$6.43 | Nov 30, 2023 | −22.6% | ✕ wrong |
| Jul 31, 2023 | OUT | C$6.71 | Sep 29, 2023 | −4.2% | ✓ right |
| Jun 30, 2023 | IN | C$7.34 | Jul 31, 2023 | −8.6% | ✕ wrong |
| Jan 31, 2022 | OUT | C$10.46 | Jun 30, 2023 | −29.8% | ✓ right |
| Jan 29, 2021 | IN | C$17.96 | Jan 31, 2022 | −41.8% | ✕ wrong |
| May 31, 2019 | OUT | C$10.61 | Jan 29, 2021 | +69.3% | ✕ 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 37 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.