Momentum · month-end rule · Financials
12-1 Momentum on EQB
What the play says
Latest reading: 12-1 return 39.4%
EQB 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 EQB over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.6% | +13.7% | +7.6% | +12.0% |
| Total return | +374% | +1,424% | +44% | +76% |
| Worst drawdown | −61.1% | −72.6% | −36.5% | −44.8% |
| Volatility | 26.2% | 32.7% | 24.1% | 29.6% |
| Sharpe ratio | 0.34 | 0.50 | 0.27 | 0.40 |
| Time invested | 69% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 18 of 38 closed calls (47%). In calls averaged +9.9%; out calls saw EQB move +8.4% on average.
| Called | Call | Price | Until | EQB moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | IN | C$113.56 | now | +7.2% | open |
| Sep 30, 2025 | OUT | C$91.05 | Feb 27, 2026 | +24.7% | ✕ wrong |
| Jun 30, 2023 | IN | C$65.39 | Sep 30, 2025 | +39.2% | ✓ right |
| May 31, 2023 | OUT | C$61.31 | Jun 30, 2023 | +6.7% | ✕ wrong |
| Apr 28, 2023 | IN | C$55.84 | May 31, 2023 | +9.8% | ✓ right |
| May 31, 2022 | OUT | C$57.88 | Apr 28, 2023 | −3.5% | ✓ right |
| Feb 26, 2021 | IN | C$60.70 | May 31, 2022 | −4.7% | ✕ wrong |
| Jun 30, 2020 | OUT | C$31.68 | Feb 26, 2021 | +91.6% | ✕ wrong |
| May 29, 2020 | IN | C$28.87 | Jun 30, 2020 | +9.7% | ✓ right |
| Apr 30, 2020 | OUT | C$30.01 | May 29, 2020 | −3.8% | ✓ right |
| Feb 28, 2019 | IN | C$30.28 | Apr 30, 2020 | −0.9% | ✕ wrong |
| Nov 30, 2018 | OUT | C$29.99 | Feb 28, 2019 | +1.0% | ✕ 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 39 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.