Momentum · month-end rule · Industrials & materials
12-1 Momentum on MDA Space
What the play says
Latest reading: 12-1 return 15.5%
MDA 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 2022
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding MDA over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +25.9% | +41.5% | +25.9% | +41.5% |
| Total return | +177% | +366% | +177% | +366% |
| Worst drawdown | −53.8% | −53.8% | −53.8% | −53.8% |
| Volatility | 44.1% | 52.1% | 44.1% | 52.1% |
| Sharpe ratio | 0.65 | 0.85 | 0.65 | 0.85 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 4 of 7 closed calls (57%). In calls averaged +54.6%; out calls saw MDA move +16.5% on average.
| Called | Call | Price | Until | MDA moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | C$42.15 | now | −3.6% | open |
| Aug 31, 2026 | OUT | C$40.03 | Sep 30, 2026 | +5.3% | ✕ wrong |
| Jan 30, 2026 | IN | C$38.43 | Aug 31, 2026 | +4.2% | ✓ right |
| Dec 31, 2025 | OUT | C$26.64 | Jan 30, 2026 | +44.3% | ✕ wrong |
| Aug 31, 2023 | IN | C$10.34 | Dec 31, 2025 | +157.6% | ✓ right |
| Jul 31, 2023 | OUT | C$8.33 | Aug 31, 2023 | +24.1% | ✕ wrong |
| Jun 30, 2023 | IN | C$8.17 | Jul 31, 2023 | +2.0% | ✓ right |
| Apr 29, 2022 | OUT | C$8.84 | Jun 30, 2023 | −7.6% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 8 of 8 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.