Momentum · month-end rule · Media & telecom
12-1 Momentum on Cogeco Communications
What the play says
Latest reading: 12-1 return −0.3%
CCA 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 CCA over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.7% | +5.8% | +2.9% | −10.1% |
| Total return | +76% | +238% | +15% | −41% |
| Worst drawdown | −52.6% | −54.1% | −20.0% | −51.7% |
| Volatility | 18.8% | 24.7% | 14.4% | 24.5% |
| Sharpe ratio | 0.14 | 0.28 | 0.01 | −0.46 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 11 of 29 closed calls (38%). In calls averaged +3.8%; out calls saw CCA move +8.6% on average.
| Called | Call | Price | Until | CCA moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | C$59.91 | now | −17.3% | open |
| Jun 30, 2026 | IN | C$62.34 | Aug 31, 2026 | −3.9% | ✕ wrong |
| May 29, 2026 | OUT | C$66.14 | Jun 30, 2026 | −5.7% | ✓ right |
| Dec 31, 2025 | IN | C$63.44 | May 29, 2026 | +4.3% | ✓ right |
| Sep 30, 2025 | OUT | C$60.12 | Dec 31, 2025 | +5.5% | ✕ wrong |
| Aug 30, 2024 | IN | C$57.37 | Sep 30, 2025 | +4.8% | ✓ right |
| Jan 31, 2022 | OUT | C$82.21 | Aug 30, 2024 | −30.2% | ✓ right |
| Feb 26, 2021 | IN | C$88.42 | Jan 31, 2022 | −7.0% | ✕ wrong |
| Jul 31, 2020 | OUT | C$77.45 | Feb 26, 2021 | +14.2% | ✕ wrong |
| Feb 28, 2019 | IN | C$60.37 | Jul 31, 2020 | +28.3% | ✓ right |
| Apr 30, 2018 | OUT | C$49.08 | Feb 28, 2019 | +23.0% | ✕ wrong |
| Dec 30, 2016 | IN | C$45.89 | Apr 30, 2018 | +7.0% | ✓ 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 30 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.