Momentum · month-end rule · Software & devices
12-1 Momentum on Descartes Systems
What the play says
Latest reading: 12-1 return −14.9%
DSG 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 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding DSG over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +18.5% | +20.5% | +3.3% | +3.1% |
| Total return | +3,844% | +5,571% | +18% | +16% |
| Worst drawdown | −35.2% | −50.9% | −35.2% | −50.9% |
| Volatility | 25.3% | 30.7% | 22.2% | 31.3% |
| Sharpe ratio | 0.73 | 0.70 | 0.09 | 0.13 |
| Time invested | 82% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 11 of 20 closed calls (55%). In calls averaged +87.7%; out calls saw DSG move +5.5% on average.
| Called | Call | Price | Until | DSG moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | OUT | C$131.04 | now | −7.8% | open |
| Aug 29, 2025 | IN | C$137.25 | Sep 30, 2025 | −4.5% | ✕ wrong |
| Jul 31, 2025 | OUT | C$146.39 | Aug 29, 2025 | −6.2% | ✓ right |
| Jan 31, 2023 | IN | C$97.10 | Jul 31, 2025 | +50.8% | ✓ right |
| Jun 30, 2022 | OUT | C$79.99 | Jan 31, 2023 | +21.4% | ✕ wrong |
| Jul 30, 2021 | IN | C$90.49 | Jun 30, 2022 | −11.6% | ✕ wrong |
| Jun 30, 2021 | OUT | C$85.73 | Jul 30, 2021 | +5.6% | ✕ wrong |
| May 29, 2020 | IN | C$65.64 | Jun 30, 2021 | +30.6% | ✓ right |
| Apr 30, 2020 | OUT | C$58.51 | May 29, 2020 | +12.2% | ✕ wrong |
| Oct 31, 2011 | IN | C$7.45 | Apr 30, 2020 | +685.4% | ✓ right |
| Sep 30, 2011 | OUT | C$6.50 | Oct 31, 2011 | +14.6% | ✕ wrong |
| Apr 29, 2011 | IN | C$6.29 | Sep 30, 2011 | +3.3% | ✓ 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 21 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.