Momentum · month-end rule · Industrials & materials
12-1 Momentum on Brookfield Business Corp
What the play says
Latest reading: 12-1 return −18.2%
BBUC 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 2023
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding BBUC over exactly the same dates, after costs.
| Play, since 2023 | Hold, since 2023 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.1% | +11.1% | +8.1% | +11.1% |
| Total return | +31% | +45% | +31% | +45% |
| Worst drawdown | −27.1% | −35.8% | −27.1% | −35.8% |
| Volatility | 32.4% | 37.7% | 32.4% | 37.7% |
| Sharpe ratio | 0.26 | 0.35 | 0.26 | 0.35 |
| Time invested | 76% | 100% | ||
| Switches per year | 0.6 | 0 |
Every call, graded
Right on 1 of 2 closed calls (50%). In calls averaged +26.0%; out calls saw BBUC move +16.6% on average.
| Called | Call | Price | Until | BBUC moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | C$37.93 | now | −2.0% | open |
| Dec 29, 2023 | IN | C$30.10 | Aug 31, 2026 | +26.0% | ✓ right |
| Mar 31, 2023 | OUT | C$25.82 | Dec 29, 2023 | +16.6% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 3 of 3 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.