Momentum · month-end rule · Healthcare
12-1 Momentum on Curaleaf
What the play says
Latest reading: 12-1 return 16.6%
CURA 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 2022
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CURA over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −13.2% | −12.4% | −13.2% | −12.4% |
| Total return | −47% | −44% | −47% | −44% |
| Worst drawdown | −72.2% | −90.1% | −72.2% | −90.1% |
| Volatility | 57.3% | 91.7% | 57.3% | 91.7% |
| Sharpe ratio | −0.03 | 0.26 | −0.03 | 0.26 |
| Time invested | 36% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 5 of 9 closed calls (56%). In calls averaged −8.4%; out calls saw CURA move +4.8% on average.
| Called | Call | Price | Until | CURA moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | C$14.62 | now | −14.2% | open |
| Aug 31, 2026 | OUT | C$13.40 | Sep 30, 2026 | +9.1% | ✕ wrong |
| Nov 28, 2025 | IN | C$9.72 | Aug 31, 2026 | +37.9% | ✓ right |
| Oct 31, 2025 | OUT | C$11.85 | Nov 28, 2025 | −18.0% | ✓ right |
| Sep 30, 2025 | IN | C$11.49 | Oct 31, 2025 | +3.1% | ✓ right |
| Nov 29, 2024 | OUT | C$8.07 | Sep 30, 2025 | +42.4% | ✕ wrong |
| Oct 31, 2024 | IN | C$12.09 | Nov 29, 2024 | −33.3% | ✕ wrong |
| Sep 30, 2024 | OUT | C$12.36 | Oct 31, 2024 | −2.2% | ✓ right |
| Jan 31, 2024 | IN | C$21.09 | Sep 30, 2024 | −41.4% | ✕ wrong |
| Apr 29, 2022 | OUT | C$22.80 | Jan 31, 2024 | −7.5% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 10 of 10 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.