Momentum · month-end rule · Media & telecom
12-1 Momentum on BCE
What the play says
Latest reading: 12-1 return 4.5%
BCE 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 BCE over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.0% | +5.3% | +0.1% | −9.4% |
| Total return | +334% | +204% | +0% | −39% |
| Worst drawdown | −27.6% | −50.4% | −21.4% | −50.4% |
| Volatility | 14.2% | 20.2% | 10.9% | 18.1% |
| Sharpe ratio | 0.42 | 0.27 | −0.28 | −0.66 |
| Time invested | 69% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 16 of 32 closed calls (50%). In calls averaged +13.4%; out calls saw BCE move −0.6% on average.
| Called | Call | Price | Until | BCE moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | C$28.97 | now | −4.5% | open |
| Jul 31, 2026 | OUT | C$30.00 | Sep 30, 2026 | −3.4% | ✓ right |
| Dec 31, 2025 | IN | C$31.49 | Jul 31, 2026 | −4.7% | ✕ wrong |
| Oct 31, 2023 | OUT | C$41.41 | Dec 31, 2025 | −24.0% | ✓ right |
| Sep 29, 2023 | IN | C$41.71 | Oct 31, 2023 | −0.7% | ✕ wrong |
| Jul 31, 2023 | OUT | C$45.03 | Sep 29, 2023 | −7.4% | ✓ right |
| May 31, 2023 | IN | C$47.65 | Jul 31, 2023 | −5.5% | ✕ wrong |
| Mar 31, 2023 | OUT | C$47.11 | May 31, 2023 | +1.2% | ✕ wrong |
| Feb 28, 2023 | IN | C$46.22 | Mar 31, 2023 | +1.9% | ✓ right |
| Jan 31, 2023 | OUT | C$48.15 | Feb 28, 2023 | −4.0% | ✓ right |
| Nov 30, 2022 | IN | C$48.33 | Jan 31, 2023 | −0.4% | ✕ wrong |
| Oct 31, 2022 | OUT | C$46.36 | Nov 30, 2022 | +4.2% | ✕ 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 33 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.