Momentum · month-end rule · Healthcare
12-1 Momentum on Bausch Health
What the play says
Latest reading: 12-1 return −1.9%
BHC 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 BHC over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.1% | −2.5% | −8.4% | −24.9% |
| Total return | +55% | −42% | −35% | −76% |
| Worst drawdown | −89.6% | −98.4% | −54.0% | −84.7% |
| Volatility | 33.2% | 53.9% | 27.6% | 63.4% |
| Sharpe ratio | 0.18 | 0.20 | −0.32 | −0.17 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 10 of 26 closed calls (38%). In calls averaged +20.8%; out calls saw BHC move +5.4% on average.
| Called | Call | Price | Until | BHC moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | C$6.99 | now | +19.6% | open |
| Apr 30, 2026 | IN | C$7.79 | Jun 30, 2026 | −10.3% | ✕ wrong |
| Sep 30, 2025 | OUT | C$8.96 | Apr 30, 2026 | −13.1% | ✓ right |
| Jul 31, 2025 | IN | C$8.17 | Sep 30, 2025 | +9.7% | ✓ right |
| Feb 28, 2025 | OUT | C$10.75 | Jul 31, 2025 | −24.0% | ✓ right |
| Oct 31, 2024 | IN | C$12.81 | Feb 28, 2025 | −16.1% | ✕ wrong |
| Jun 28, 2024 | OUT | C$9.54 | Oct 31, 2024 | +34.3% | ✕ wrong |
| Mar 28, 2024 | IN | C$14.35 | Jun 28, 2024 | −33.5% | ✕ wrong |
| Feb 29, 2024 | OUT | C$12.77 | Mar 28, 2024 | +12.4% | ✕ wrong |
| Jun 30, 2023 | IN | C$10.60 | Feb 29, 2024 | +20.5% | ✓ right |
| Feb 28, 2022 | OUT | C$30.49 | Jun 30, 2023 | −65.2% | ✓ right |
| Feb 26, 2021 | IN | C$40.05 | Feb 28, 2022 | −23.9% | ✕ 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 27 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.