Momentum · month-end rule · Industrials & materials
12-1 Momentum on Element Fleet Management
What the play says
Latest reading: 12-1 return −25.9%
EFN 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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding EFN over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +13.6% | +10.3% | +12.1% | +12.3% |
| Total return | +475% | +285% | +76% | +78% |
| Worst drawdown | −44.9% | −80.1% | −31.2% | −42.6% |
| Volatility | 24.6% | 34.0% | 21.3% | 24.5% |
| Sharpe ratio | 0.57 | 0.41 | 0.46 | 0.44 |
| Time invested | 71% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 7 of 15 closed calls (47%). In calls averaged +31.3%; out calls saw EFN move +1.1% on average.
| Called | Call | Price | Until | EFN moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | C$29.08 | now | −25.7% | open |
| Aug 31, 2022 | IN | C$15.22 | Jun 30, 2026 | +91.1% | ✓ right |
| Mar 31, 2022 | OUT | C$11.07 | Aug 31, 2022 | +37.5% | ✕ wrong |
| Jan 31, 2022 | IN | C$11.77 | Mar 31, 2022 | −6.0% | ✕ wrong |
| Dec 31, 2021 | OUT | C$11.70 | Jan 31, 2022 | +0.5% | ✕ wrong |
| Mar 31, 2021 | IN | C$12.30 | Dec 31, 2021 | −4.8% | ✕ wrong |
| Feb 26, 2021 | OUT | C$11.11 | Mar 31, 2021 | +10.7% | ✕ wrong |
| Feb 28, 2019 | IN | C$6.46 | Feb 26, 2021 | +72.0% | ✓ right |
| Apr 28, 2017 | OUT | C$9.55 | Feb 28, 2019 | −32.4% | ✓ right |
| Mar 31, 2017 | IN | C$9.81 | Apr 28, 2017 | −2.6% | ✕ wrong |
| Feb 29, 2016 | OUT | C$11.26 | Mar 31, 2017 | −12.9% | ✓ right |
| Mar 31, 2015 | IN | C$13.44 | Feb 29, 2016 | −16.2% | ✕ 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 16 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.