Momentum · month-end rule · Financials
12-1 Momentum on Canadian Imperial Bank of Commerce
What the play says
Latest reading: 12-1 return 44.8%
CM 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 CM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.7% | +12.5% | +22.4% | +22.7% |
| Total return | +804% | +1,183% | +174% | +177% |
| Worst drawdown | −43.9% | −62.0% | −27.1% | −36.1% |
| Volatility | 15.9% | 22.4% | 15.3% | 18.7% |
| Sharpe ratio | 0.61 | 0.56 | 1.15 | 0.99 |
| Time invested | 74% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 15 of 26 closed calls (58%). In calls averaged +10.4%; out calls saw CM move +4.0% on average.
| Called | Call | Price | Until | CM moved | Result |
|---|---|---|---|---|---|
| Dec 29, 2023 | IN | C$57.21 | now | +176.9% | open |
| Jul 29, 2022 | OUT | C$53.08 | Dec 29, 2023 | +7.8% | ✕ wrong |
| Dec 31, 2020 | IN | C$41.70 | Jul 29, 2022 | +27.3% | ✓ right |
| Apr 30, 2020 | OUT | C$30.29 | Dec 31, 2020 | +37.7% | ✕ wrong |
| Oct 31, 2019 | IN | C$39.98 | Apr 30, 2020 | −24.2% | ✕ wrong |
| Jun 28, 2019 | OUT | C$36.18 | Oct 31, 2019 | +10.5% | ✕ wrong |
| May 31, 2019 | IN | C$35.52 | Jun 28, 2019 | +1.8% | ✓ right |
| Apr 30, 2019 | OUT | C$39.10 | May 31, 2019 | −9.1% | ✓ right |
| Mar 29, 2019 | IN | C$36.60 | Apr 30, 2019 | +6.8% | ✓ right |
| Dec 31, 2018 | OUT | C$34.79 | Mar 29, 2019 | +5.2% | ✕ wrong |
| Mar 31, 2016 | IN | C$29.21 | Dec 31, 2018 | +19.1% | ✓ right |
| Feb 29, 2016 | OUT | C$26.76 | Mar 31, 2016 | +9.2% | ✕ 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 27 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.