Momentum · month-end rule · Financials
12-1 Momentum on Manulife Financial
What the play says
Latest reading: 12-1 return 40.6%
MFC 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 MFC over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.8% | +7.8% | +25.5% | +26.2% |
| Total return | +316% | +405% | +210% | +218% |
| Worst drawdown | −52.7% | −78.0% | −17.6% | −21.0% |
| Volatility | 19.6% | 30.7% | 20.6% | 21.6% |
| Sharpe ratio | 0.34 | 0.34 | 1.02 | 1.01 |
| Time invested | 67% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 12 of 26 closed calls (46%). In calls averaged +6.2%; out calls saw MFC move +4.0% on average.
| Called | Call | Price | Until | MFC moved | Result |
|---|---|---|---|---|---|
| Feb 28, 2023 | IN | C$23.13 | now | +166.1% | open |
| Jan 31, 2023 | OUT | C$22.27 | Feb 28, 2023 | +3.9% | ✕ wrong |
| Nov 30, 2022 | IN | C$20.49 | Jan 31, 2023 | +8.7% | ✓ right |
| Jul 29, 2022 | OUT | C$19.28 | Nov 30, 2022 | +6.3% | ✕ wrong |
| Apr 29, 2022 | IN | C$20.36 | Jul 29, 2022 | −5.3% | ✕ wrong |
| Mar 31, 2022 | OUT | C$21.60 | Apr 29, 2022 | −5.8% | ✓ right |
| Feb 26, 2021 | IN | C$19.59 | Mar 31, 2022 | +10.3% | ✓ right |
| Apr 30, 2020 | OUT | C$12.81 | Feb 26, 2021 | +53.0% | ✕ wrong |
| May 31, 2019 | IN | C$16.05 | Apr 30, 2020 | −20.2% | ✕ wrong |
| Sep 28, 2018 | OUT | C$15.81 | May 31, 2019 | +1.5% | ✕ wrong |
| Aug 31, 2018 | IN | C$16.35 | Sep 28, 2018 | −3.3% | ✕ wrong |
| Jul 31, 2018 | OUT | C$16.39 | Aug 31, 2018 | −0.3% | ✓ 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 27 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.