Momentum · month-end rule · Industrials & materials
12-1 Momentum on Magna International
What the play says
Latest reading: 12-1 return 42.6%
MG 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 2006
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding MG over exactly the same dates, after costs.
| Play, since 2006 | Hold, since 2006 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.0% | +10.4% | −0.1% | +0.8% |
| Total return | +497% | +672% | −1% | +4% |
| Worst drawdown | −49.7% | −73.5% | −41.7% | −56.0% |
| Volatility | 21.6% | 33.8% | 20.5% | 34.1% |
| Sharpe ratio | 0.43 | 0.41 | −0.09 | 0.08 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 11 of 27 closed calls (41%). In calls averaged +17.1%; out calls saw MG move +5.5% on average.
| Called | Call | Price | Until | MG moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$61.02 | now | +50.3% | open |
| Jun 28, 2024 | OUT | C$52.27 | Aug 29, 2025 | +16.7% | ✕ wrong |
| Feb 29, 2024 | IN | C$67.50 | Jun 28, 2024 | −22.6% | ✕ wrong |
| Oct 31, 2023 | OUT | C$59.14 | Feb 29, 2024 | +14.1% | ✕ wrong |
| Aug 31, 2023 | IN | C$70.53 | Oct 31, 2023 | −16.2% | ✕ wrong |
| Feb 28, 2022 | OUT | C$79.68 | Aug 31, 2023 | −11.5% | ✓ right |
| Dec 31, 2020 | IN | C$74.32 | Feb 28, 2022 | +7.2% | ✓ right |
| Feb 28, 2020 | OUT | C$48.76 | Dec 31, 2020 | +52.4% | ✕ wrong |
| Aug 30, 2019 | IN | C$52.85 | Feb 28, 2020 | −7.7% | ✕ wrong |
| Apr 30, 2019 | OUT | C$58.19 | Aug 30, 2019 | −9.2% | ✓ right |
| Feb 28, 2019 | IN | C$53.81 | Apr 30, 2019 | +8.2% | ✓ right |
| Jan 31, 2019 | OUT | C$53.88 | Feb 28, 2019 | −0.1% | ✓ 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 28 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.