Momentum · month-end rule · Industrials & materials
12-1 Momentum on Canadian Pacific Kansas City
What the play says
Latest reading: 12-1 return 24.7%
CP 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 CP over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +13.6% | +14.6% | +2.2% | +7.6% |
| Total return | +1,486% | +1,790% | +12% | +44% |
| Worst drawdown | −33.3% | −62.0% | −19.2% | −21.6% |
| Volatility | 21.1% | 27.1% | 17.5% | 22.0% |
| Sharpe ratio | 0.63 | 0.57 | −0.00 | 0.27 |
| Time invested | 77% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 13 of 24 closed calls (54%). In calls averaged +35.6%; out calls saw CP move +2.7% on average.
| Called | Call | Price | Until | CP moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | IN | C$109.00 | now | +12.6% | open |
| Jul 31, 2025 | OUT | C$100.80 | Mar 31, 2026 | +8.1% | ✕ wrong |
| Jun 30, 2025 | IN | C$107.01 | Jul 31, 2025 | −5.8% | ✕ wrong |
| Mar 31, 2025 | OUT | C$99.69 | Jun 30, 2025 | +7.3% | ✕ wrong |
| Feb 28, 2025 | IN | C$111.03 | Mar 31, 2025 | −10.2% | ✕ wrong |
| Jan 31, 2025 | OUT | C$113.80 | Feb 28, 2025 | −2.4% | ✓ right |
| Jan 31, 2024 | IN | C$105.87 | Jan 31, 2025 | +7.5% | ✓ right |
| Nov 30, 2023 | OUT | C$95.42 | Jan 31, 2024 | +10.9% | ✕ wrong |
| Nov 30, 2022 | IN | C$106.78 | Nov 30, 2023 | −10.6% | ✕ wrong |
| Oct 31, 2022 | OUT | C$98.47 | Nov 30, 2022 | +8.4% | ✕ wrong |
| Aug 31, 2022 | IN | C$95.13 | Oct 31, 2022 | +3.5% | ✓ right |
| May 31, 2022 | OUT | C$87.14 | Aug 31, 2022 | +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 25 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.