Momentum · month-end rule · Financials
12-1 Momentum on iA Financial
What the play says
Latest reading: 12-1 return 28.1%
IAG 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 IAG over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.9% | +12.9% | +21.8% | +27.9% |
| Total return | +529% | +1,272% | +167% | +240% |
| Worst drawdown | −58.6% | −66.4% | −29.0% | −29.0% |
| Volatility | 20.2% | 27.2% | 23.0% | 24.5% |
| Sharpe ratio | 0.44 | 0.52 | 0.81 | 0.97 |
| Time invested | 71% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 15 of 36 closed calls (42%). In calls averaged +7.3%; out calls saw IAG move +5.4% on average.
| Called | Call | Price | Until | IAG moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$98.48 | now | +113.4% | open |
| Jul 31, 2024 | OUT | C$88.05 | Aug 30, 2024 | +11.8% | ✕ wrong |
| Jun 28, 2024 | IN | C$81.02 | Jul 31, 2024 | +8.7% | ✓ right |
| Apr 30, 2024 | OUT | C$78.01 | Jun 28, 2024 | +3.9% | ✕ wrong |
| Feb 28, 2023 | IN | C$82.55 | Apr 30, 2024 | −5.5% | ✕ wrong |
| Jan 31, 2023 | OUT | C$73.46 | Feb 28, 2023 | +12.4% | ✕ wrong |
| Nov 30, 2022 | IN | C$67.88 | Jan 31, 2023 | +8.2% | ✓ right |
| Oct 31, 2022 | OUT | C$67.19 | Nov 30, 2022 | +1.0% | ✕ wrong |
| Aug 31, 2022 | IN | C$62.52 | Oct 31, 2022 | +7.5% | ✓ right |
| Jul 29, 2022 | OUT | C$61.85 | Aug 31, 2022 | +1.1% | ✕ wrong |
| Jun 30, 2022 | IN | C$56.19 | Jul 29, 2022 | +10.1% | ✓ right |
| May 31, 2022 | OUT | C$57.65 | Jun 30, 2022 | −2.5% | ✓ 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 37 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.