Momentum · month-end rule · Financials
12-1 Momentum on Intact Financial
What the play says
Latest reading: 12-1 return 0.7%
IFC 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 2006
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding IFC over exactly the same dates, after costs.
| Play, since 2006 | Hold, since 2006 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.2% | +10.5% | +8.8% | +10.3% |
| Total return | +800% | +687% | +52% | +63% |
| Worst drawdown | −30.6% | −53.5% | −26.0% | −22.6% |
| Volatility | 16.6% | 21.7% | 16.2% | 18.1% |
| Sharpe ratio | 0.62 | 0.49 | 0.37 | 0.42 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 12 of 22 closed calls (55%). In calls averaged +25.7%; out calls saw IFC move +0.3% on average.
| Called | Call | Price | Until | IFC moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | IN | C$273.69 | now | −10.7% | open |
| Feb 27, 2026 | OUT | C$258.97 | Jul 31, 2026 | +5.7% | ✕ wrong |
| Dec 31, 2025 | IN | C$280.98 | Feb 27, 2026 | −7.8% | ✕ wrong |
| Nov 28, 2025 | OUT | C$279.32 | Dec 31, 2025 | +0.6% | ✕ wrong |
| Dec 29, 2023 | IN | C$192.84 | Nov 28, 2025 | +44.8% | ✓ right |
| Sep 29, 2023 | OUT | C$186.34 | Dec 29, 2023 | +3.5% | ✕ wrong |
| Mar 31, 2021 | IN | C$137.38 | Sep 29, 2023 | +35.6% | ✓ right |
| Feb 26, 2021 | OUT | C$126.21 | Mar 31, 2021 | +8.9% | ✕ wrong |
| Feb 28, 2019 | IN | C$92.90 | Feb 26, 2021 | +35.8% | ✓ right |
| Jan 31, 2019 | OUT | C$87.72 | Feb 28, 2019 | +5.9% | ✕ wrong |
| Dec 31, 2018 | IN | C$83.77 | Jan 31, 2019 | +4.7% | ✓ right |
| Nov 30, 2018 | OUT | C$89.22 | Dec 31, 2018 | −6.1% | ✓ 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.