Momentum · month-end rule · Industrials & materials
12-1 Momentum on Cargojet
What the play says
Latest reading: 12-1 return −6.9%
CJT 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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CJT over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +23.6% | +20.2% | −4.2% | −14.3% |
| Total return | +1,673% | +1,113% | −19% | −54% |
| Worst drawdown | −40.3% | −71.1% | −27.7% | −65.0% |
| Volatility | 27.8% | 35.0% | 16.2% | 37.5% |
| Sharpe ratio | 0.84 | 0.65 | −0.42 | −0.32 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 9 of 13 closed calls (69%). In calls averaged +113.6%; out calls saw CJT move −4.4% on average.
| Called | Call | Price | Until | CJT moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | C$78.30 | now | +9.9% | open |
| Mar 31, 2026 | IN | C$79.58 | Apr 30, 2026 | −1.6% | ✕ wrong |
| Mar 31, 2025 | OUT | C$80.54 | Mar 31, 2026 | −1.2% | ✓ right |
| Feb 28, 2025 | IN | C$95.13 | Mar 31, 2025 | −15.3% | ✕ wrong |
| Jan 31, 2025 | OUT | C$115.59 | Feb 28, 2025 | −17.7% | ✓ right |
| Feb 29, 2024 | IN | C$106.27 | Jan 31, 2025 | +8.8% | ✓ right |
| May 31, 2022 | OUT | C$140.26 | Feb 29, 2024 | −24.2% | ✓ right |
| Mar 31, 2022 | IN | C$179.13 | May 31, 2022 | −21.7% | ✕ wrong |
| Oct 29, 2021 | OUT | C$185.10 | Mar 31, 2022 | −3.2% | ✓ right |
| Apr 29, 2016 | IN | C$25.37 | Oct 29, 2021 | +629.7% | ✓ right |
| Feb 29, 2016 | OUT | C$20.64 | Apr 29, 2016 | +22.9% | ✕ wrong |
| Jan 29, 2016 | IN | C$20.05 | Feb 29, 2016 | +3.0% | ✓ 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 14 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.