Momentum · month-end rule · Consumer & retail
12-1 Momentum on Metro Inc.
What the play says
Latest reading: 12-1 return −4.6%
MRU 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 MRU over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.6% | +13.4% | +6.9% | +10.0% |
| Total return | +499% | +1,407% | +39% | +60% |
| Worst drawdown | −32.1% | −46.7% | −17.8% | −17.7% |
| Volatility | 17.1% | 20.1% | 14.9% | 16.9% |
| Sharpe ratio | 0.47 | 0.64 | 0.27 | 0.42 |
| Time invested | 81% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 14 of 29 closed calls (48%). In calls averaged +14.2%; out calls saw MRU move +8.0% on average.
| Called | Call | Price | Until | MRU moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | OUT | C$96.30 | now | −5.2% | open |
| Jul 31, 2024 | IN | C$79.27 | Feb 27, 2026 | +21.5% | ✓ right |
| Apr 30, 2024 | OUT | C$67.58 | Jul 31, 2024 | +17.3% | ✕ wrong |
| Feb 29, 2024 | IN | C$70.52 | Apr 30, 2024 | −4.2% | ✕ wrong |
| Nov 30, 2023 | OUT | C$64.95 | Feb 29, 2024 | +8.6% | ✕ wrong |
| Jun 30, 2021 | IN | C$54.48 | Nov 30, 2023 | +19.2% | ✓ right |
| May 31, 2021 | OUT | C$53.09 | Jun 30, 2021 | +2.6% | ✕ wrong |
| Apr 30, 2021 | IN | C$51.40 | May 31, 2021 | +3.3% | ✓ right |
| Mar 31, 2021 | OUT | C$52.33 | Apr 30, 2021 | −1.8% | ✓ right |
| Oct 31, 2018 | IN | C$36.40 | Mar 31, 2021 | +43.7% | ✓ right |
| Sep 28, 2018 | OUT | C$35.25 | Oct 31, 2018 | +3.3% | ✕ wrong |
| Jun 29, 2018 | IN | C$39.03 | Sep 28, 2018 | −9.7% | ✕ 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 30 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.