Momentum · month-end rule · Software & devices
12-1 Momentum on Celestica
What the play says
Latest reading: 12-1 return 21.4%
CLS 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 CLS over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.4% | +17.1% | +114.6% | +114.3% |
| Total return | +2,096% | +2,923% | +4,371% | +4,343% |
| Worst drawdown | −63.1% | −81.0% | −54.2% | −54.2% |
| Volatility | 36.3% | 46.2% | 58.4% | 58.5% |
| Sharpe ratio | 0.53 | 0.53 | 1.54 | 1.53 |
| Time invested | 55% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 19 of 35 closed calls (54%). In calls averaged −0.7%; out calls saw CLS move +5.8% on average.
| Called | Call | Price | Until | CLS moved | Result |
|---|---|---|---|---|---|
| Feb 28, 2023 | IN | C$17.63 | now | +2,780.8% | open |
| Jan 31, 2023 | OUT | C$17.72 | Feb 28, 2023 | −0.5% | ✓ right |
| Nov 30, 2022 | IN | C$15.01 | Jan 31, 2023 | +18.1% | ✓ right |
| Oct 31, 2022 | OUT | C$14.95 | Nov 30, 2022 | +0.4% | ✕ wrong |
| Aug 31, 2021 | IN | C$11.97 | Oct 31, 2022 | +24.9% | ✓ right |
| Jul 30, 2021 | OUT | C$11.03 | Aug 31, 2021 | +8.5% | ✕ wrong |
| Feb 26, 2021 | IN | C$10.55 | Jul 30, 2021 | +4.5% | ✓ right |
| Oct 30, 2020 | OUT | C$7.83 | Feb 26, 2021 | +34.7% | ✕ wrong |
| Aug 31, 2020 | IN | C$10.39 | Oct 30, 2020 | −24.6% | ✕ wrong |
| Jul 31, 2020 | OUT | C$11.06 | Aug 31, 2020 | −6.1% | ✓ right |
| May 29, 2020 | IN | C$9.38 | Jul 31, 2020 | +17.9% | ✓ right |
| Jan 31, 2019 | OUT | C$13.06 | May 29, 2020 | −28.2% | ✓ 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 36 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.