Momentum · month-end rule · Financials
12-1 Momentum on Laurentian Bank of Canada
What the play says
Latest reading: 12-1 return 29.3%
LB 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 LB over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +0.4% | +7.4% | +1.9% | +5.8% |
| Total return | +9% | +368% | +10% | +32% |
| Worst drawdown | −62.6% | −49.5% | −47.1% | −41.4% |
| Volatility | 18.0% | 24.5% | 16.9% | 26.1% |
| Sharpe ratio | 0.01 | 0.34 | −0.03 | 0.20 |
| Time invested | 64% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 10 of 31 closed calls (32%). In calls averaged −2.8%; out calls saw LB move +11.3% on average.
| Called | Call | Price | Until | LB moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2024 | IN | C$23.36 | now | +73.0% | open |
| Nov 30, 2023 | OUT | C$21.62 | Oct 31, 2024 | +8.1% | ✕ wrong |
| Aug 31, 2023 | IN | C$30.25 | Nov 30, 2023 | −28.6% | ✕ wrong |
| Sep 30, 2022 | OUT | C$23.37 | Aug 31, 2023 | +29.5% | ✕ wrong |
| Aug 31, 2022 | IN | C$27.98 | Sep 30, 2022 | −16.5% | ✕ wrong |
| May 31, 2022 | OUT | C$29.68 | Aug 31, 2022 | −5.7% | ✓ right |
| Mar 31, 2021 | IN | C$29.57 | May 31, 2022 | +0.4% | ✓ right |
| Mar 31, 2020 | OUT | C$21.45 | Mar 31, 2021 | +37.8% | ✕ wrong |
| Jul 31, 2019 | IN | C$30.30 | Mar 31, 2020 | −29.2% | ✕ wrong |
| Feb 28, 2018 | OUT | C$30.99 | Jul 31, 2019 | −2.3% | ✓ right |
| Dec 30, 2016 | IN | C$33.73 | Feb 28, 2018 | −8.1% | ✕ wrong |
| Oct 31, 2016 | OUT | C$28.66 | Dec 30, 2016 | +17.7% | ✕ wrong |
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 32 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.