Momentum · month-end rule · Financials
12-1 Momentum on Fairfax Financial
What the play says
Latest reading: 12-1 return −6.4%
FFH 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 FFH over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.2% | +13.9% | +37.7% | +37.5% |
| Total return | +1,114% | +1,566% | +391% | +387% |
| Worst drawdown | −33.5% | −56.2% | −18.9% | −18.9% |
| Volatility | 22.2% | 27.2% | 23.6% | 23.9% |
| Sharpe ratio | 0.55 | 0.55 | 1.31 | 1.29 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 14 of 28 closed calls (50%). In calls averaged +35.6%; out calls saw FFH move +3.1% on average.
| Called | Call | Price | Until | FFH moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$2,219.06 | now | +3.1% | open |
| Aug 31, 2026 | IN | C$2,259.83 | Sep 30, 2026 | −1.8% | ✕ wrong |
| Jun 30, 2026 | OUT | C$2,332.74 | Aug 31, 2026 | −3.1% | ✓ right |
| Mar 31, 2021 | IN | C$510.63 | Jun 30, 2026 | +356.8% | ✓ right |
| Jan 31, 2020 | OUT | C$536.76 | Mar 31, 2021 | −4.9% | ✓ right |
| Dec 31, 2019 | IN | C$541.00 | Jan 31, 2020 | −0.8% | ✕ wrong |
| Apr 30, 2019 | OUT | C$566.86 | Dec 31, 2019 | −4.6% | ✓ right |
| Feb 28, 2019 | IN | C$578.08 | Apr 30, 2019 | −1.9% | ✕ wrong |
| Nov 30, 2018 | OUT | C$545.66 | Feb 28, 2019 | +5.9% | ✕ wrong |
| Nov 30, 2017 | IN | C$604.38 | Nov 30, 2018 | −9.7% | ✕ wrong |
| Dec 30, 2016 | OUT | C$541.07 | Nov 30, 2017 | +11.7% | ✕ wrong |
| Feb 29, 2016 | IN | C$596.80 | Dec 30, 2016 | −9.3% | ✕ 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 29 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.