Momentum · month-end rule · Industrials & materials
12-1 Momentum on Mullen Group
What the play says
Latest reading: 12-1 return 93.7%
MTL 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 MTL over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.4% | +7.2% | +9.0% | +21.6% |
| Total return | +152% | +348% | +53% | +164% |
| Worst drawdown | −67.9% | −83.4% | −32.7% | −21.6% |
| Volatility | 22.9% | 32.5% | 23.8% | 27.0% |
| Sharpe ratio | 0.22 | 0.32 | 0.32 | 0.72 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 15 of 36 closed calls (42%). In calls averaged +2.9%; out calls saw MTL move +5.1% on average.
| Called | Call | Price | Until | MTL moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$15.27 | now | +84.9% | open |
| Oct 31, 2025 | OUT | C$13.55 | Dec 31, 2025 | +12.7% | ✕ wrong |
| Sep 30, 2025 | IN | C$13.31 | Oct 31, 2025 | +1.8% | ✓ right |
| Aug 29, 2025 | OUT | C$13.10 | Sep 30, 2025 | +1.6% | ✕ wrong |
| Apr 30, 2025 | IN | C$12.23 | Aug 29, 2025 | +7.2% | ✓ right |
| Mar 31, 2025 | OUT | C$11.60 | Apr 30, 2025 | +5.4% | ✕ wrong |
| Aug 30, 2024 | IN | C$12.78 | Mar 31, 2025 | −9.3% | ✕ wrong |
| May 31, 2024 | OUT | C$11.50 | Aug 30, 2024 | +11.1% | ✕ wrong |
| Jan 31, 2024 | IN | C$13.01 | May 31, 2024 | −11.6% | ✕ wrong |
| Nov 30, 2023 | OUT | C$11.31 | Jan 31, 2024 | +15.0% | ✕ wrong |
| Aug 31, 2022 | IN | C$11.38 | Nov 30, 2023 | −0.6% | ✕ wrong |
| May 31, 2022 | OUT | C$9.85 | Aug 31, 2022 | +15.5% | ✕ 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 37 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.