Momentum · month-end rule · Software & devices
12-1 Momentum on Constellation Software
What the play says
Latest reading: 12-1 return −16.8%
CSU 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 2008
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CSU over exactly the same dates, after costs.
| Play, since 2008 | Hold, since 2008 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +33.0% | +32.7% | +10.3% | +7.9% |
| Total return | +16,287% | +15,504% | +63% | +46% |
| Worst drawdown | −33.3% | −56.4% | −33.3% | −56.4% |
| Volatility | 24.4% | 26.9% | 22.2% | 30.3% |
| Sharpe ratio | 1.24 | 1.13 | 0.38 | 0.28 |
| Time invested | 90% | 100% | ||
| Switches per year | 0.7 | 0 |
Every call, graded
Right on 9 of 13 closed calls (69%). In calls averaged +376.6%; out calls saw CSU move +3.2% on average.
| Called | Call | Price | Until | CSU moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | OUT | C$3,683.69 | now | −14.8% | open |
| Feb 28, 2023 | IN | C$2,331.74 | Oct 31, 2025 | +58.0% | ✓ right |
| Sep 30, 2022 | OUT | C$1,909.04 | Feb 28, 2023 | +22.1% | ✕ wrong |
| Aug 31, 2022 | IN | C$1,962.25 | Sep 30, 2022 | −2.7% | ✕ wrong |
| Jul 29, 2022 | OUT | C$2,162.09 | Aug 31, 2022 | −9.2% | ✓ right |
| Dec 31, 2020 | IN | C$1,634.16 | Jul 29, 2022 | +32.3% | ✓ right |
| Nov 30, 2020 | OUT | C$1,588.79 | Dec 31, 2020 | +2.9% | ✕ wrong |
| Sep 30, 2016 | IN | C$558.46 | Nov 30, 2020 | +184.5% | ✓ right |
| Jul 29, 2016 | OUT | C$500.69 | Sep 30, 2016 | +11.5% | ✕ wrong |
| Jun 30, 2016 | IN | C$471.01 | Jul 29, 2016 | +6.3% | ✓ right |
| May 31, 2016 | OUT | C$500.83 | Jun 30, 2016 | −6.0% | ✓ right |
| Jan 30, 2009 | IN | C$20.40 | May 31, 2016 | +2,354.9% | ✓ 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.