Momentum · month-end rule · Consumer & retail
12-1 Momentum on Maple Leaf Foods
What the play says
Latest reading: 12-1 return −13.2%
MFI 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 MFI over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.2% | +4.8% | +1.1% | +4.8% |
| Total return | +200% | +176% | +6% | +26% |
| Worst drawdown | −44.0% | −60.5% | −37.5% | −38.1% |
| Volatility | 20.5% | 27.8% | 23.2% | 30.1% |
| Sharpe ratio | 0.26 | 0.24 | 0.00 | 0.18 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 19 of 37 closed calls (51%). In calls averaged +9.2%; out calls saw MFI move +1.4% on average.
| Called | Call | Price | Until | MFI moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | C$26.35 | now | −4.9% | open |
| Mar 31, 2025 | IN | C$20.81 | Aug 31, 2026 | +26.6% | ✓ right |
| Jun 28, 2024 | OUT | C$18.48 | Mar 31, 2025 | +12.6% | ✕ wrong |
| May 31, 2024 | IN | C$18.05 | Jun 28, 2024 | +2.4% | ✓ right |
| Feb 29, 2024 | OUT | C$18.26 | May 31, 2024 | −1.2% | ✓ right |
| Aug 31, 2023 | IN | C$22.64 | Feb 29, 2024 | −19.3% | ✕ wrong |
| Jul 31, 2023 | OUT | C$21.42 | Aug 31, 2023 | +5.7% | ✕ wrong |
| May 31, 2023 | IN | C$19.29 | Jul 31, 2023 | +11.0% | ✓ right |
| Sep 30, 2022 | OUT | C$15.67 | May 31, 2023 | +23.1% | ✕ wrong |
| Apr 29, 2022 | IN | C$21.13 | Sep 30, 2022 | −25.9% | ✕ wrong |
| Mar 31, 2022 | OUT | C$22.41 | Apr 29, 2022 | −5.7% | ✓ right |
| Sep 30, 2021 | IN | C$18.97 | Mar 31, 2022 | +18.1% | ✓ 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 38 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.