Momentum · month-end rule · Consumer & retail
12-1 Momentum on Dollarama
What the play says
Latest reading: 12-1 return −4.4%
DOL 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 2010
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding DOL over exactly the same dates, after costs.
| Play, since 2010 | Hold, since 2010 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +24.4% | +27.3% | +27.8% | +28.6% |
| Total return | +3,105% | +4,528% | +239% | +250% |
| Worst drawdown | −50.6% | −45.1% | −19.1% | −19.6% |
| Volatility | 21.3% | 23.0% | 21.3% | 22.2% |
| Sharpe ratio | 1.06 | 1.10 | 1.08 | 1.08 |
| Time invested | 90% | 100% | ||
| Switches per year | 0.7 | 0 |
Every call, graded
Right on 7 of 11 closed calls (64%). In calls averaged +166.8%; out calls saw DOL move +7.8% on average.
| Called | Call | Price | Until | DOL moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$183.88 | now | +4.9% | open |
| Aug 31, 2026 | IN | C$174.96 | Sep 30, 2026 | +5.1% | ✓ right |
| May 29, 2026 | OUT | C$176.07 | Aug 31, 2026 | −0.6% | ✓ right |
| Dec 31, 2020 | IN | C$50.98 | May 29, 2026 | +245.4% | ✓ right |
| Nov 30, 2020 | OUT | C$52.24 | Dec 31, 2020 | −2.4% | ✓ right |
| Sep 30, 2020 | IN | C$50.11 | Nov 30, 2020 | +4.2% | ✓ right |
| Jul 31, 2020 | OUT | C$48.09 | Sep 30, 2020 | +4.2% | ✕ wrong |
| May 29, 2020 | IN | C$45.79 | Jul 31, 2020 | +5.0% | ✓ right |
| Apr 30, 2020 | OUT | C$42.82 | May 29, 2020 | +6.9% | ✕ wrong |
| Sep 30, 2019 | IN | C$46.39 | Apr 30, 2020 | −7.7% | ✕ wrong |
| Oct 31, 2018 | OUT | C$35.50 | Sep 30, 2019 | +30.7% | ✕ wrong |
| Oct 29, 2010 | IN | C$4.18 | Oct 31, 2018 | +748.6% | ✓ 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 12 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.