Momentum · month-end rule · Industrials & materials
12-1 Momentum on Canadian National Railway
What the play says
Latest reading: 12-1 return 34.3%
CNR 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 CNR over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.0% | +12.8% | +2.8% | +4.8% |
| Total return | +689% | +1,252% | +15% | +26% |
| Worst drawdown | −29.4% | −34.3% | −24.5% | −27.2% |
| Volatility | 18.6% | 22.5% | 15.7% | 19.9% |
| Sharpe ratio | 0.51 | 0.57 | 0.01 | 0.14 |
| Time invested | 79% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 13 of 30 closed calls (43%). In calls averaged +19.9%; out calls saw CNR move +4.7% on average.
| Called | Call | Price | Until | CNR moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | IN | C$141.64 | now | +20.6% | open |
| Nov 29, 2024 | OUT | C$148.98 | Mar 31, 2026 | −4.9% | ✓ right |
| Jan 31, 2024 | IN | C$156.56 | Nov 29, 2024 | −4.8% | ✕ wrong |
| Oct 31, 2023 | OUT | C$137.05 | Jan 31, 2024 | +14.2% | ✕ wrong |
| Apr 28, 2023 | IN | C$149.29 | Oct 31, 2023 | −8.2% | ✕ wrong |
| Mar 31, 2023 | OUT | C$147.41 | Apr 28, 2023 | +1.3% | ✕ wrong |
| Nov 30, 2022 | IN | C$158.18 | Mar 31, 2023 | −6.8% | ✕ wrong |
| Oct 31, 2022 | OUT | C$147.84 | Nov 30, 2022 | +7.0% | ✕ wrong |
| Aug 31, 2020 | IN | C$120.70 | Oct 31, 2022 | +22.5% | ✓ right |
| Mar 31, 2020 | OUT | C$96.44 | Aug 31, 2020 | +25.2% | ✕ wrong |
| Jun 29, 2018 | IN | C$91.37 | Mar 31, 2020 | +5.6% | ✓ right |
| Apr 30, 2018 | OUT | C$83.91 | Jun 29, 2018 | +8.9% | ✕ 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 31 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.