Momentum · month-end rule · Financials
12-1 Momentum on Definity Financial
What the play says
Latest reading: 12-1 return 3.7%
DFY 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 DFY over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.5% | +16.8% | +8.5% | +16.8% |
| Total return | +37% | +82% | +37% | +82% |
| Worst drawdown | −26.3% | −21.0% | −26.3% | −21.0% |
| Volatility | 20.1% | 22.7% | 20.1% | 22.7% |
| Sharpe ratio | 0.28 | 0.60 | 0.28 | 0.60 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 1 of 4 closed calls (25%). In calls averaged +33.0%; out calls saw DFY move +17.3% on average.
| Called | Call | Price | Until | DFY moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | IN | C$79.79 | now | −14.2% | open |
| Apr 30, 2026 | OUT | C$68.83 | Jul 31, 2026 | +15.9% | ✕ wrong |
| Jan 31, 2024 | IN | C$37.85 | Apr 30, 2026 | +81.8% | ✓ right |
| Jul 31, 2023 | OUT | C$31.88 | Jan 31, 2024 | +18.7% | ✕ wrong |
| Nov 30, 2022 | IN | C$37.85 | Jul 31, 2023 | −15.8% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 5 of 5 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.