Momentum · month-end rule · Consumer & retail
12-1 Momentum on Empire Company
What the play says
Latest reading: 12-1 return −2.3%
EMP.A 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 EMP.A over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.7% | +8.7% | +6.7% | +7.0% |
| Total return | +168% | +503% | +38% | +40% |
| Worst drawdown | −40.8% | −51.1% | −23.4% | −27.7% |
| Volatility | 19.6% | 24.2% | 16.7% | 21.0% |
| Sharpe ratio | 0.24 | 0.39 | 0.25 | 0.25 |
| Time invested | 69% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 14 of 31 closed calls (45%). In calls averaged +6.6%; out calls saw EMP.A move +6.5% on average.
| Called | Call | Price | Until | EMP.A moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | C$46.27 | now | +5.6% | open |
| Aug 30, 2024 | IN | C$36.23 | Apr 30, 2026 | +27.7% | ✓ right |
| Jan 31, 2024 | OUT | C$33.21 | Aug 30, 2024 | +9.1% | ✕ wrong |
| Sep 29, 2023 | IN | C$34.86 | Jan 31, 2024 | −4.8% | ✕ wrong |
| Jul 29, 2022 | OUT | C$35.98 | Sep 29, 2023 | −3.1% | ✓ right |
| Oct 30, 2020 | IN | C$32.79 | Jul 29, 2022 | +9.7% | ✓ right |
| Jun 30, 2020 | OUT | C$29.11 | Oct 30, 2020 | +12.6% | ✕ wrong |
| May 29, 2020 | IN | C$27.91 | Jun 30, 2020 | +4.3% | ✓ right |
| Apr 30, 2020 | OUT | C$27.52 | May 29, 2020 | +1.4% | ✕ wrong |
| Dec 31, 2018 | IN | C$25.25 | Apr 30, 2020 | +9.0% | ✓ right |
| Nov 30, 2018 | OUT | C$22.04 | Dec 31, 2018 | +14.5% | ✕ wrong |
| Sep 29, 2017 | IN | C$18.91 | Nov 30, 2018 | +16.6% | ✓ 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 32 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.