Momentum · month-end rule · Financials
12-1 Momentum on Great-West Lifeco
What the play says
Latest reading: 12-1 return 62.3%
GWO 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 GWO over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.1% | +10.5% | +23.0% | +24.6% |
| Total return | +341% | +765% | +180% | +198% |
| Worst drawdown | −45.0% | −67.5% | −21.5% | −27.6% |
| Volatility | 15.7% | 23.6% | 15.2% | 17.2% |
| Sharpe ratio | 0.40 | 0.47 | 1.19 | 1.14 |
| Time invested | 69% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 15 of 34 closed calls (44%). In calls averaged +3.6%; out calls saw GWO move +5.2% on average.
| Called | Call | Price | Until | GWO moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2023 | IN | C$30.55 | now | +195.1% | open |
| May 31, 2022 | OUT | C$27.90 | Mar 31, 2023 | +9.5% | ✕ wrong |
| Mar 31, 2021 | IN | C$25.58 | May 31, 2022 | +9.1% | ✓ right |
| Apr 30, 2020 | OUT | C$16.44 | Mar 31, 2021 | +55.5% | ✕ wrong |
| Oct 31, 2019 | IN | C$22.38 | Apr 30, 2020 | −26.5% | ✕ wrong |
| Jun 28, 2019 | OUT | C$20.76 | Oct 31, 2019 | +7.8% | ✕ wrong |
| May 31, 2019 | IN | C$21.07 | Jun 28, 2019 | −1.5% | ✕ wrong |
| Jun 29, 2018 | OUT | C$21.14 | May 31, 2019 | −0.3% | ✓ right |
| May 31, 2018 | IN | C$21.52 | Jun 29, 2018 | −1.8% | ✕ wrong |
| Mar 29, 2018 | OUT | C$21.25 | May 31, 2018 | +1.3% | ✕ wrong |
| Dec 30, 2016 | IN | C$21.55 | Mar 29, 2018 | −1.4% | ✕ wrong |
| Oct 31, 2016 | OUT | C$20.44 | Dec 30, 2016 | +5.4% | ✕ 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 35 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.