Momentum · month-end rule · Industrials & materials
12-1 Momentum on CAE
What the play says
Latest reading: 12-1 return −18.6%
CAE 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 CAE over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.7% | +10.3% | −7.5% | −2.5% |
| Total return | +302% | +736% | −32% | −12% |
| Worst drawdown | −66.5% | −64.9% | −49.1% | −50.0% |
| Volatility | 23.3% | 31.8% | 22.4% | 34.7% |
| Sharpe ratio | 0.32 | 0.41 | −0.40 | −0.01 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 10 of 28 closed calls (36%). In calls averaged +12.6%; out calls saw CAE move +8.4% on average.
| Called | Call | Price | Until | CAE moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | C$35.51 | now | −6.0% | open |
| Dec 31, 2024 | IN | C$36.50 | Jun 30, 2026 | −2.7% | ✕ wrong |
| Jan 31, 2024 | OUT | C$26.92 | Dec 31, 2024 | +35.6% | ✕ wrong |
| Dec 29, 2023 | IN | C$28.60 | Jan 31, 2024 | −5.9% | ✕ wrong |
| Nov 30, 2023 | OUT | C$26.98 | Dec 29, 2023 | +6.0% | ✕ wrong |
| Aug 31, 2023 | IN | C$32.59 | Nov 30, 2023 | −17.2% | ✕ wrong |
| May 31, 2023 | OUT | C$27.76 | Aug 31, 2023 | +17.4% | ✕ wrong |
| Apr 28, 2023 | IN | C$30.49 | May 31, 2023 | −9.0% | ✕ wrong |
| Feb 28, 2022 | OUT | C$33.91 | Apr 28, 2023 | −10.1% | ✓ right |
| Jan 31, 2022 | IN | C$32.10 | Feb 28, 2022 | +5.6% | ✓ right |
| Dec 31, 2021 | OUT | C$31.91 | Jan 31, 2022 | +0.6% | ✕ wrong |
| Mar 31, 2021 | IN | C$35.81 | Dec 31, 2021 | −10.9% | ✕ 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 29 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.