Momentum · month-end rule · Industrials & materials
12-1 Momentum on Calian Group
What the play says
Latest reading: 12-1 return 52.4%
CGY 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 CGY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.6% | +13.4% | +10.8% | +7.3% |
| Total return | +500% | +1,427% | +66% | +42% |
| Worst drawdown | −41.7% | −43.6% | −26.7% | −43.6% |
| Volatility | 21.0% | 26.2% | 24.2% | 32.5% |
| Sharpe ratio | 0.41 | 0.54 | 0.38 | 0.26 |
| Time invested | 66% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 21 of 40 closed calls (52%). In calls averaged +9.2%; out calls saw CGY move +7.3% on average.
| Called | Call | Price | Until | CGY moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$52.39 | now | +56.8% | open |
| Sep 30, 2024 | OUT | C$44.09 | Aug 29, 2025 | +18.8% | ✕ wrong |
| Aug 30, 2024 | IN | C$43.50 | Sep 30, 2024 | +1.3% | ✓ right |
| Sep 29, 2023 | OUT | C$47.99 | Aug 30, 2024 | −9.3% | ✓ right |
| Aug 31, 2023 | IN | C$49.72 | Sep 29, 2023 | −3.5% | ✕ wrong |
| Mar 31, 2023 | OUT | C$60.68 | Aug 31, 2023 | −18.1% | ✓ right |
| Nov 30, 2022 | IN | C$61.59 | Mar 31, 2023 | −1.5% | ✕ wrong |
| Oct 31, 2022 | OUT | C$53.03 | Nov 30, 2022 | +16.2% | ✕ wrong |
| Mar 31, 2022 | IN | C$63.23 | Oct 31, 2022 | −16.1% | ✕ wrong |
| Feb 28, 2022 | OUT | C$55.21 | Mar 31, 2022 | +14.5% | ✕ wrong |
| Jan 31, 2022 | IN | C$52.03 | Feb 28, 2022 | +6.1% | ✓ right |
| Dec 31, 2021 | OUT | C$56.03 | Jan 31, 2022 | −7.1% | ✓ 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 41 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.