Momentum · month-end rule · Software & devices
12-1 Momentum on CGI
What the play says
Latest reading: 12-1 return −15.2%
GIB.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 GIB.A over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.4% | +12.7% | −1.4% | −1.4% |
| Total return | +473% | +1,217% | −7% | −7% |
| Worst drawdown | −39.8% | −50.8% | −27.7% | −50.8% |
| Volatility | 21.0% | 25.9% | 14.7% | 22.7% |
| Sharpe ratio | 0.40 | 0.52 | −0.28 | −0.11 |
| Time invested | 74% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 10 of 22 closed calls (45%). In calls averaged +19.3%; out calls saw GIB.A move +12.3% on average.
| Called | Call | Price | Until | GIB.A moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | OUT | C$132.53 | now | −22.3% | open |
| Jul 31, 2024 | IN | C$155.75 | Jul 31, 2025 | −14.9% | ✕ wrong |
| May 31, 2024 | OUT | C$133.15 | Jul 31, 2024 | +17.0% | ✕ wrong |
| Nov 30, 2022 | IN | C$116.19 | May 31, 2024 | +14.6% | ✓ right |
| Mar 31, 2022 | OUT | C$98.53 | Nov 30, 2022 | +17.9% | ✕ wrong |
| Feb 26, 2021 | IN | C$93.99 | Mar 31, 2022 | +4.8% | ✓ right |
| Apr 30, 2020 | OUT | C$87.82 | Feb 26, 2021 | +7.0% | ✕ wrong |
| Apr 28, 2017 | IN | C$65.18 | Apr 30, 2020 | +34.7% | ✓ right |
| Mar 31, 2017 | OUT | C$63.04 | Apr 28, 2017 | +3.4% | ✕ wrong |
| Dec 31, 2014 | IN | C$43.82 | Mar 31, 2017 | +43.9% | ✓ right |
| Nov 28, 2014 | OUT | C$41.24 | Dec 31, 2014 | +6.3% | ✕ wrong |
| Jun 29, 2012 | IN | C$24.21 | Nov 28, 2014 | +70.3% | ✓ 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 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.