Momentum · month-end rule · Software & devices
12-1 Momentum on Docebo
What the play says
Latest reading: 12-1 return −3.2%
DCBO 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 2020
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding DCBO over exactly the same dates, after costs.
| Play, since 2020 | Hold, since 2020 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −0.9% | −4.9% | −12.0% | −16.2% |
| Total return | −5% | −26% | −47% | −59% |
| Worst drawdown | −62.5% | −82.6% | −56.8% | −80.0% |
| Volatility | 37.0% | 51.6% | 32.3% | 50.8% |
| Sharpe ratio | 0.08 | 0.10 | −0.35 | −0.17 |
| Time invested | 53% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 4 of 7 closed calls (57%). In calls averaged −3.4%; out calls saw DCBO move +1.0% on average.
| Called | Call | Price | Until | DCBO moved | Result |
|---|---|---|---|---|---|
| Feb 28, 2025 | OUT | C$46.40 | now | −16.1% | open |
| Sep 30, 2024 | IN | C$59.68 | Feb 28, 2025 | −22.3% | ✕ wrong |
| Aug 30, 2024 | OUT | C$57.90 | Sep 30, 2024 | +3.1% | ✕ wrong |
| Jul 31, 2024 | IN | C$55.12 | Aug 30, 2024 | +5.0% | ✓ right |
| Jun 28, 2024 | OUT | C$52.83 | Jul 31, 2024 | +4.3% | ✕ wrong |
| Apr 28, 2023 | IN | C$52.60 | Jun 28, 2024 | +0.4% | ✓ right |
| Apr 29, 2022 | OUT | C$55.01 | Apr 28, 2023 | −4.4% | ✓ right |
| Oct 30, 2020 | IN | C$53.38 | Apr 29, 2022 | +3.1% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 8 of 8 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.