Momentum · month-end rule · Software & devices
12-1 Momentum on Kinaxis
What the play says
Latest reading: 12-1 return −1.4%
KXS 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 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding KXS over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.6% | +18.8% | −0.9% | −0.4% |
| Total return | +210% | +593% | −4% | −2% |
| Worst drawdown | −50.5% | −48.2% | −42.4% | −48.2% |
| Volatility | 31.1% | 37.6% | 22.0% | 35.3% |
| Sharpe ratio | 0.41 | 0.59 | −0.10 | 0.06 |
| Time invested | 65% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 13 of 23 closed calls (57%). In calls averaged +17.6%; out calls saw KXS move +6.8% on average.
| Called | Call | Price | Until | KXS moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | OUT | C$129.51 | now | +44.3% | open |
| Dec 31, 2025 | IN | C$173.08 | Feb 27, 2026 | −25.2% | ✕ wrong |
| Nov 28, 2025 | OUT | C$174.61 | Dec 31, 2025 | −0.9% | ✓ right |
| Oct 31, 2024 | IN | C$154.64 | Nov 28, 2025 | +12.9% | ✓ right |
| Sep 30, 2024 | OUT | C$160.67 | Oct 31, 2024 | −3.8% | ✓ right |
| Aug 30, 2024 | IN | C$147.32 | Sep 30, 2024 | +9.1% | ✓ right |
| Mar 28, 2024 | OUT | C$154.00 | Aug 30, 2024 | −4.3% | ✓ right |
| Feb 29, 2024 | IN | C$140.68 | Mar 28, 2024 | +9.5% | ✓ right |
| Nov 30, 2023 | OUT | C$151.00 | Feb 29, 2024 | −6.8% | ✓ right |
| Apr 28, 2023 | IN | C$186.06 | Nov 30, 2023 | −18.8% | ✕ wrong |
| Mar 31, 2023 | OUT | C$185.56 | Apr 28, 2023 | +0.3% | ✕ wrong |
| Feb 28, 2023 | IN | C$158.57 | Mar 31, 2023 | +17.0% | ✓ 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 24 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.