Momentum · month-end rule · Industrials & materials
12-1 Momentum on Exchange Income
What the play says
Latest reading: 12-1 return 69.1%
EIF 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 EIF over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +16.1% | +20.3% | +24.2% | +26.4% |
| Total return | +2,277% | +5,028% | +194% | +221% |
| Worst drawdown | −68.2% | −68.2% | −21.5% | −21.5% |
| Volatility | 28.2% | 33.2% | 23.5% | 24.6% |
| Sharpe ratio | 0.61 | 0.67 | 0.88 | 0.92 |
| Time invested | 75% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 10 of 22 closed calls (45%). In calls averaged +30.5%; out calls saw EIF move +8.6% on average.
| Called | Call | Price | Until | EIF moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$45.75 | now | +149.4% | open |
| Nov 30, 2023 | OUT | C$40.29 | Aug 30, 2024 | +13.5% | ✕ wrong |
| Mar 31, 2021 | IN | C$31.01 | Nov 30, 2023 | +29.9% | ✓ right |
| Apr 30, 2020 | OUT | C$21.48 | Mar 31, 2021 | +44.4% | ✕ wrong |
| Mar 29, 2019 | IN | C$22.33 | Apr 30, 2020 | −3.8% | ✕ wrong |
| Nov 30, 2018 | OUT | C$20.48 | Mar 29, 2019 | +9.0% | ✕ wrong |
| Oct 31, 2018 | IN | C$19.79 | Nov 30, 2018 | +3.5% | ✓ right |
| Sep 28, 2018 | OUT | C$21.53 | Oct 31, 2018 | −8.1% | ✓ right |
| Jun 29, 2018 | IN | C$20.51 | Sep 28, 2018 | +5.0% | ✓ right |
| Aug 31, 2017 | OUT | C$20.19 | Jun 29, 2018 | +1.6% | ✕ wrong |
| Dec 31, 2014 | IN | C$11.76 | Aug 31, 2017 | +71.8% | ✓ right |
| Nov 28, 2014 | OUT | C$11.56 | Dec 31, 2014 | +1.7% | ✕ 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 23 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.