Momentum · month-end rule · Consumer & retail
12-1 Momentum on Loblaw
What the play says
Latest reading: 12-1 return 13.4%
L 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 L over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.0% | +9.0% | +21.9% | +25.2% |
| Total return | +429% | +539% | +168% | +206% |
| Worst drawdown | −30.7% | −63.2% | −14.5% | −14.5% |
| Volatility | 15.7% | 19.8% | 18.9% | 19.2% |
| Sharpe ratio | 0.46 | 0.44 | 0.94 | 1.07 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 15 of 34 closed calls (44%). In calls averaged +7.1%; out calls saw L move +2.3% on average.
| Called | Call | Price | Until | L moved | Result |
|---|---|---|---|---|---|
| Jan 31, 2024 | IN | C$32.63 | now | +101.4% | open |
| Nov 30, 2023 | OUT | C$28.31 | Jan 31, 2024 | +15.2% | ✕ wrong |
| Apr 30, 2021 | IN | C$15.92 | Nov 30, 2023 | +77.9% | ✓ right |
| Nov 30, 2020 | OUT | C$14.82 | Apr 30, 2021 | +7.4% | ✕ wrong |
| Oct 30, 2020 | IN | C$15.31 | Nov 30, 2020 | −3.2% | ✕ wrong |
| Jul 31, 2020 | OUT | C$15.97 | Oct 30, 2020 | −4.1% | ✓ right |
| Dec 31, 2018 | IN | C$13.66 | Jul 31, 2020 | +16.9% | ✓ right |
| Nov 30, 2018 | OUT | C$13.64 | Dec 31, 2018 | +0.2% | ✕ wrong |
| Jul 31, 2018 | IN | C$12.25 | Nov 30, 2018 | +11.3% | ✓ right |
| Feb 28, 2018 | OUT | C$11.64 | Jul 31, 2018 | +5.2% | ✕ wrong |
| Jan 31, 2018 | IN | C$11.77 | Feb 28, 2018 | −1.1% | ✕ wrong |
| Nov 30, 2017 | OUT | C$11.95 | Jan 31, 2018 | −1.5% | ✓ 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 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.