Momentum · month-end rule · Consumer & retail
12-1 Momentum on BRP
What the play says
Latest reading: 12-1 return 1.9%
DOO 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 2014
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding DOO over exactly the same dates, after costs.
| Play, since 2014 | Hold, since 2014 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −0.2% | +8.6% | −8.7% | −7.1% |
| Total return | −2% | +177% | −36% | −31% |
| Worst drawdown | −83.5% | −73.6% | −42.9% | −62.5% |
| Volatility | 33.5% | 42.8% | 30.8% | 42.2% |
| Sharpe ratio | 0.11 | 0.37 | −0.25 | −0.05 |
| Time invested | 57% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 3 of 14 closed calls (21%). In calls averaged +8.7%; out calls saw DOO move +19.9% on average.
| Called | Call | Price | Until | DOO moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | C$83.74 | now | −10.0% | open |
| Nov 30, 2023 | OUT | C$81.11 | Sep 30, 2025 | +3.2% | ✕ wrong |
| Feb 28, 2023 | IN | C$113.84 | Nov 30, 2023 | −28.7% | ✕ wrong |
| Jul 29, 2022 | OUT | C$93.46 | Feb 28, 2023 | +21.8% | ✕ wrong |
| May 31, 2022 | IN | C$94.16 | Jul 29, 2022 | −0.7% | ✕ wrong |
| Mar 31, 2022 | OUT | C$97.88 | May 31, 2022 | −3.8% | ✓ right |
| May 29, 2020 | IN | C$45.32 | Mar 31, 2022 | +116.0% | ✓ right |
| Apr 30, 2020 | OUT | C$39.59 | May 29, 2020 | +14.5% | ✕ wrong |
| Nov 29, 2019 | IN | C$61.69 | Apr 30, 2020 | −35.8% | ✕ wrong |
| Jan 31, 2019 | OUT | C$35.64 | Nov 29, 2019 | +73.1% | ✕ wrong |
| Oct 31, 2016 | IN | C$24.12 | Jan 31, 2019 | +47.8% | ✓ right |
| Nov 30, 2015 | OUT | C$20.32 | Oct 31, 2016 | +18.7% | ✕ wrong |
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 15 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.