Momentum · month-end rule · Consumer & retail
12-1 Momentum on Canadian Tire
What the play says
Latest reading: 12-1 return 18.0%
CTC.A 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 CTC.A over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.4% | +8.8% | +1.0% | +5.7% |
| Total return | +153% | +513% | +5% | +32% |
| Worst drawdown | −50.4% | −58.2% | −31.3% | −29.7% |
| Volatility | 19.6% | 25.4% | 16.3% | 22.2% |
| Sharpe ratio | 0.23 | 0.39 | −0.09 | 0.19 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 17 of 30 closed calls (57%). In calls averaged +8.7%; out calls saw CTC.A move +9.0% on average.
| Called | Call | Price | Until | CTC.A moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | IN | C$204.60 | now | −5.8% | open |
| Jun 30, 2026 | OUT | C$193.65 | Jul 31, 2026 | +5.7% | ✕ wrong |
| Sep 30, 2024 | IN | C$149.12 | Jun 30, 2026 | +29.9% | ✓ right |
| Jan 31, 2024 | OUT | C$128.19 | Sep 30, 2024 | +16.3% | ✕ wrong |
| Dec 29, 2023 | IN | C$124.75 | Jan 31, 2024 | +2.8% | ✓ right |
| Oct 31, 2023 | OUT | C$118.58 | Dec 29, 2023 | +5.2% | ✕ wrong |
| Apr 28, 2023 | IN | C$154.00 | Oct 31, 2023 | −23.0% | ✕ wrong |
| Apr 29, 2022 | OUT | C$147.27 | Apr 28, 2023 | +4.6% | ✕ wrong |
| Dec 31, 2020 | IN | C$133.73 | Apr 29, 2022 | +10.1% | ✓ right |
| Mar 31, 2020 | OUT | C$66.00 | Dec 31, 2020 | +102.6% | ✕ wrong |
| Feb 28, 2020 | IN | C$102.55 | Mar 31, 2020 | −35.6% | ✕ wrong |
| Jan 31, 2020 | OUT | C$110.28 | Feb 28, 2020 | −7.0% | ✓ 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 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.