Momentum · month-end rule · Industrials & materials
12-1 Momentum on Methanex
What the play says
Latest reading: 12-1 return 49.1%
MX 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 MX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −2.5% | +9.6% | −12.3% | +9.1% |
| Total return | −43% | +632% | −48% | +54% |
| Worst drawdown | −75.9% | −86.1% | −63.1% | −51.8% |
| Volatility | 29.5% | 41.9% | 35.5% | 42.2% |
| Sharpe ratio | 0.00 | 0.39 | −0.30 | 0.33 |
| Time invested | 65% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 12 of 40 closed calls (30%). In calls averaged −0.2%; out calls saw MX move +15.5% on average.
| Called | Call | Price | Until | MX moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | IN | C$68.15 | now | +31.8% | open |
| Nov 28, 2025 | OUT | C$49.52 | Feb 27, 2026 | +37.6% | ✕ wrong |
| Oct 31, 2025 | IN | C$54.40 | Nov 28, 2025 | −9.0% | ✕ wrong |
| Apr 30, 2025 | OUT | C$42.16 | Oct 31, 2025 | +29.0% | ✕ wrong |
| Dec 31, 2024 | IN | C$69.75 | Apr 30, 2025 | −39.6% | ✕ wrong |
| Oct 31, 2024 | OUT | C$52.71 | Dec 31, 2024 | +32.3% | ✕ wrong |
| Apr 30, 2024 | IN | C$63.21 | Oct 31, 2024 | −16.6% | ✕ wrong |
| Feb 29, 2024 | OUT | C$57.95 | Apr 30, 2024 | +9.1% | ✕ wrong |
| Jun 30, 2023 | IN | C$51.80 | Feb 29, 2024 | +11.9% | ✓ right |
| Apr 28, 2023 | OUT | C$57.14 | Jun 30, 2023 | −9.3% | ✓ right |
| Mar 31, 2023 | IN | C$59.25 | Apr 28, 2023 | −3.6% | ✕ wrong |
| Jan 31, 2023 | OUT | C$59.10 | Mar 31, 2023 | +0.3% | ✕ 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 41 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.