Momentum · month-end rule · Financials
12-1 Momentum on IGM Financial
What the play says
Latest reading: 12-1 return 75.0%
IGM 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 IGM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.2% | +9.4% | +12.3% | +18.5% |
| Total return | +270% | +596% | +78% | +133% |
| Worst drawdown | −47.6% | −51.7% | −38.7% | −32.6% |
| Volatility | 16.3% | 23.2% | 18.3% | 21.8% |
| Sharpe ratio | 0.34 | 0.43 | 0.52 | 0.71 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 12 of 28 closed calls (43%). In calls averaged +4.6%; out calls saw IGM move +5.9% on average.
| Called | Call | Price | Until | IGM moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$36.00 | now | +126.4% | open |
| Nov 30, 2023 | OUT | C$29.16 | Aug 30, 2024 | +23.5% | ✕ wrong |
| Apr 28, 2023 | IN | C$34.93 | Nov 30, 2023 | −16.5% | ✕ wrong |
| May 31, 2022 | OUT | C$30.76 | Apr 28, 2023 | +13.5% | ✕ wrong |
| Feb 26, 2021 | IN | C$25.72 | May 31, 2022 | +19.6% | ✓ right |
| Apr 30, 2020 | OUT | C$20.73 | Feb 26, 2021 | +24.1% | ✕ wrong |
| May 31, 2019 | IN | C$24.05 | Apr 30, 2020 | −13.8% | ✕ wrong |
| Sep 28, 2018 | OUT | C$22.48 | May 31, 2019 | +7.0% | ✕ wrong |
| Aug 31, 2018 | IN | C$22.70 | Sep 28, 2018 | −0.9% | ✕ wrong |
| Jun 29, 2018 | OUT | C$23.76 | Aug 31, 2018 | −4.5% | ✓ right |
| May 31, 2018 | IN | C$23.54 | Jun 29, 2018 | +0.9% | ✓ right |
| Apr 30, 2018 | OUT | C$24.21 | May 31, 2018 | −2.8% | ✓ 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 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.