Momentum · month-end rule · Industrials & materials
12-1 Momentum on Bombardier
What the play says
Latest reading: 12-1 return 53.7%
BBD.B 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 BBD.B over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.3% | +8.1% | +0.5% | +42.4% |
| Total return | +32% | +433% | +3% | +481% |
| Worst drawdown | −83.6% | −96.3% | −69.8% | −66.0% |
| Volatility | 38.0% | 54.8% | 47.6% | 53.7% |
| Sharpe ratio | 0.18 | 0.38 | 0.17 | 0.86 |
| Time invested | 59% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 9 of 29 closed calls (31%). In calls averaged −3.9%; out calls saw BBD.B move +18.0% on average.
| Called | Call | Price | Until | BBD.B moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | IN | C$118.64 | now | +152.4% | open |
| May 30, 2025 | OUT | C$96.04 | Jun 30, 2025 | +23.5% | ✕ wrong |
| May 31, 2024 | IN | C$91.75 | May 30, 2025 | +4.7% | ✓ right |
| Nov 30, 2023 | OUT | C$46.86 | May 31, 2024 | +95.8% | ✕ wrong |
| Dec 30, 2022 | IN | C$52.27 | Nov 30, 2023 | −10.4% | ✕ wrong |
| Jul 29, 2022 | OUT | C$21.41 | Dec 30, 2022 | +144.1% | ✕ wrong |
| Mar 31, 2021 | IN | C$24.25 | Jul 29, 2022 | −11.7% | ✕ wrong |
| Dec 31, 2018 | OUT | C$50.75 | Mar 31, 2021 | −52.2% | ✓ right |
| Jul 29, 2016 | IN | C$49.00 | Dec 31, 2018 | +3.6% | ✓ right |
| Feb 27, 2015 | OUT | C$65.00 | Jul 29, 2016 | −24.6% | ✓ right |
| Jan 30, 2015 | IN | C$72.50 | Feb 27, 2015 | −10.3% | ✕ wrong |
| May 30, 2014 | OUT | C$90.43 | Jan 30, 2015 | −19.8% | ✓ right |
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 30 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.