Momentum · month-end rule · Financials
12-1 Momentum on Brookfield Corporation
What the play says
Latest reading: 12-1 return −9.9%
BN 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 BN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.9% | +13.8% | +9.5% | +7.4% |
| Total return | +1,909% | +1,529% | +57% | +43% |
| Worst drawdown | −46.7% | −67.7% | −28.9% | −36.8% |
| Volatility | 21.9% | 28.1% | 24.3% | 29.0% |
| Sharpe ratio | 0.66 | 0.54 | 0.34 | 0.26 |
| Time invested | 78% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 14 of 21 closed calls (67%). In calls averaged +36.0%; out calls saw BN move +1.6% on average.
| Called | Call | Price | Until | BN moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | OUT | C$59.47 | now | −12.3% | open |
| Dec 29, 2023 | IN | C$34.80 | Jul 31, 2026 | +70.9% | ✓ right |
| Oct 31, 2023 | OUT | C$26.40 | Dec 29, 2023 | +31.8% | ✕ wrong |
| Sep 29, 2023 | IN | C$27.75 | Oct 31, 2023 | −4.9% | ✕ wrong |
| Jul 29, 2022 | OUT | C$33.15 | Sep 29, 2023 | −16.3% | ✓ right |
| Mar 31, 2021 | IN | C$28.80 | Jul 29, 2022 | +15.1% | ✓ right |
| Jan 29, 2021 | OUT | C$25.45 | Mar 31, 2021 | +13.1% | ✕ wrong |
| Dec 31, 2020 | IN | C$27.03 | Jan 29, 2021 | −5.8% | ✕ wrong |
| Aug 31, 2020 | OUT | C$22.54 | Dec 31, 2020 | +19.9% | ✕ wrong |
| May 29, 2020 | IN | C$22.06 | Aug 31, 2020 | +2.2% | ✓ right |
| Apr 30, 2020 | OUT | C$23.92 | May 29, 2020 | −7.8% | ✓ right |
| Aug 31, 2016 | IN | C$14.35 | Apr 30, 2020 | +66.7% | ✓ 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 22 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.