Momentum · month-end rule · Industrials & materials
12-1 Momentum on Bird Construction
What the play says
Latest reading: 12-1 return 128.7%
BDT 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 BDT over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.5% | +17.6% | +55.6% | +58.7% |
| Total return | +612% | +3,207% | +804% | +895% |
| Worst drawdown | −81.1% | −75.3% | −42.6% | −42.8% |
| Volatility | 32.4% | 38.4% | 34.4% | 36.5% |
| Sharpe ratio | 0.43 | 0.60 | 1.35 | 1.34 |
| Time invested | 65% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 14 of 30 closed calls (47%). In calls averaged +16.2%; out calls saw BDT move +15.8% on average.
| Called | Call | Price | Until | BDT moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | C$29.58 | now | +179.9% | open |
| Sep 30, 2025 | OUT | C$29.57 | Oct 31, 2025 | +0.0% | ✕ wrong |
| Mar 31, 2023 | IN | C$8.19 | Sep 30, 2025 | +261.0% | ✓ right |
| May 31, 2022 | OUT | C$7.22 | Mar 31, 2023 | +13.4% | ✕ wrong |
| Jun 30, 2020 | IN | C$4.68 | May 31, 2022 | +54.1% | ✓ right |
| Mar 31, 2020 | OUT | C$3.53 | Jun 30, 2020 | +32.8% | ✕ wrong |
| Dec 31, 2019 | IN | C$5.43 | Mar 31, 2020 | −35.1% | ✕ wrong |
| Jun 28, 2019 | OUT | C$4.15 | Dec 31, 2019 | +30.8% | ✕ wrong |
| May 31, 2019 | IN | C$4.11 | Jun 28, 2019 | +0.9% | ✓ right |
| Jun 29, 2018 | OUT | C$5.03 | May 31, 2019 | −18.2% | ✓ right |
| May 31, 2018 | IN | C$5.02 | Jun 29, 2018 | +0.2% | ✓ right |
| Mar 29, 2018 | OUT | C$5.85 | May 31, 2018 | −14.1% | ✓ 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 31 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.