Momentum · month-end rule · Consumer & retail
12-1 Momentum on Boyd Group
What the play says
Latest reading: 12-1 return −48.6%
BYD 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 BYD over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +25.3% | +16.1% | −1.6% | −14.7% |
| Total return | +12,921% | +2,407% | −8% | −55% |
| Worst drawdown | −43.1% | −87.0% | −29.4% | −65.6% |
| Volatility | 30.6% | 39.1% | 16.8% | 32.7% |
| Sharpe ratio | 0.83 | 0.53 | −0.24 | −0.44 |
| Time invested | 78% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 7 of 17 closed calls (41%). In calls averaged +266.9%; out calls saw BYD move −8.2% on average.
| Called | Call | Price | Until | BYD moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | C$167.48 | now | −32.1% | open |
| Mar 31, 2026 | IN | C$177.13 | Apr 30, 2026 | −5.5% | ✕ wrong |
| Jan 30, 2026 | OUT | C$222.40 | Mar 31, 2026 | −20.4% | ✓ right |
| Sep 30, 2025 | IN | C$233.74 | Jan 30, 2026 | −4.9% | ✕ wrong |
| Aug 30, 2024 | OUT | C$222.83 | Sep 30, 2025 | +4.9% | ✕ wrong |
| Jul 31, 2024 | IN | C$229.70 | Aug 30, 2024 | −3.0% | ✕ wrong |
| Jun 28, 2024 | OUT | C$254.99 | Jul 31, 2024 | −9.9% | ✓ right |
| Dec 30, 2022 | IN | C$206.81 | Jun 28, 2024 | +23.3% | ✓ right |
| Dec 31, 2021 | OUT | C$196.70 | Dec 30, 2022 | +5.1% | ✕ wrong |
| Dec 31, 2020 | IN | C$215.79 | Dec 31, 2021 | −8.8% | ✕ wrong |
| Nov 30, 2020 | OUT | C$208.07 | Dec 31, 2020 | +3.7% | ✕ wrong |
| May 29, 2020 | IN | C$206.74 | Nov 30, 2020 | +0.6% | ✓ 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 18 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.