Momentum · month-end rule · Industrials & materials
12-1 Momentum on Finning International
What the play says
Latest reading: 12-1 return 42.6%
FTT 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 FTT over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.6% | +11.3% | +11.6% | +28.8% |
| Total return | +387% | +908% | +73% | +252% |
| Worst drawdown | −38.8% | −68.7% | −37.7% | −39.1% |
| Volatility | 22.9% | 32.1% | 30.0% | 33.9% |
| Sharpe ratio | 0.36 | 0.44 | 0.39 | 0.80 |
| Time invested | 64% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 16 of 28 closed calls (57%). In calls averaged +8.2%; out calls saw FTT move +8.2% on average.
| Called | Call | Price | Until | FTT moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | IN | C$57.11 | now | +83.6% | open |
| Apr 30, 2025 | OUT | C$37.94 | Jun 30, 2025 | +50.5% | ✕ wrong |
| Sep 30, 2024 | IN | C$42.70 | Apr 30, 2025 | −11.2% | ✕ wrong |
| Jul 31, 2024 | OUT | C$37.80 | Sep 30, 2024 | +13.0% | ✕ wrong |
| May 31, 2023 | IN | C$34.14 | Jul 31, 2024 | +10.7% | ✓ right |
| Mar 31, 2023 | OUT | C$31.13 | May 31, 2023 | +9.7% | ✕ wrong |
| Feb 28, 2023 | IN | C$31.98 | Mar 31, 2023 | −2.7% | ✕ wrong |
| Jan 31, 2023 | OUT | C$34.45 | Feb 28, 2023 | −7.2% | ✓ right |
| Dec 30, 2022 | IN | C$30.89 | Jan 31, 2023 | +11.5% | ✓ right |
| Jul 29, 2022 | OUT | C$25.29 | Dec 30, 2022 | +22.1% | ✕ wrong |
| Dec 31, 2020 | IN | C$23.47 | Jul 29, 2022 | +7.8% | ✓ right |
| Feb 28, 2020 | OUT | C$16.72 | Dec 31, 2020 | +40.3% | ✕ 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.