Momentum · month-end rule · Industrials & materials
12-1 Momentum on CCL Industries
What the play says
Latest reading: 12-1 return 20.0%
CCL.B 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 CCL.B over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.7% | +17.9% | −0.1% | +9.3% |
| Total return | +799% | +3,386% | −1% | +56% |
| Worst drawdown | −53.5% | −57.0% | −31.5% | −23.5% |
| Volatility | 23.5% | 28.7% | 17.7% | 22.7% |
| Sharpe ratio | 0.47 | 0.65 | −0.13 | 0.34 |
| Time invested | 74% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 8 of 28 closed calls (29%). In calls averaged +59.1%; out calls saw CCL.B move +11.2% on average.
| Called | Call | Price | Until | CCL.B moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | IN | C$84.08 | now | +14.2% | open |
| Oct 31, 2025 | OUT | C$76.99 | Nov 28, 2025 | +9.2% | ✕ wrong |
| Mar 28, 2024 | IN | C$66.50 | Oct 31, 2025 | +15.8% | ✓ right |
| Aug 31, 2023 | OUT | C$57.26 | Mar 28, 2024 | +16.1% | ✕ wrong |
| Feb 28, 2023 | IN | C$61.71 | Aug 31, 2023 | −7.2% | ✕ wrong |
| Dec 30, 2022 | OUT | C$54.38 | Feb 28, 2023 | +13.5% | ✕ wrong |
| Oct 31, 2022 | IN | C$59.93 | Dec 30, 2022 | −9.3% | ✕ wrong |
| Mar 31, 2022 | OUT | C$52.41 | Oct 31, 2022 | +14.4% | ✕ wrong |
| Dec 31, 2020 | IN | C$52.82 | Mar 31, 2022 | −0.8% | ✕ wrong |
| Mar 31, 2020 | OUT | C$38.69 | Dec 31, 2020 | +36.5% | ✕ wrong |
| Dec 31, 2019 | IN | C$49.81 | Mar 31, 2020 | −22.3% | ✕ wrong |
| Oct 31, 2019 | OUT | C$48.67 | Dec 31, 2019 | +2.4% | ✕ 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.