Momentum · month-end rule · Financials
12-1 Momentum on National Bank of Canada
What the play says
Latest reading: 12-1 return 46.8%
NA 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 NA over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.1% | +14.9% | +18.9% | +19.4% |
| Total return | +1,077% | +1,894% | +137% | +141% |
| Worst drawdown | −48.2% | −58.5% | −22.6% | −22.6% |
| Volatility | 16.6% | 22.4% | 16.6% | 18.1% |
| Sharpe ratio | 0.66 | 0.65 | 0.90 | 0.86 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 11 of 26 closed calls (42%). In calls averaged +14.6%; out calls saw NA move +4.7% on average.
| Called | Call | Price | Until | NA moved | Result |
|---|---|---|---|---|---|
| Dec 29, 2023 | IN | C$92.36 | now | +119.0% | open |
| Nov 30, 2023 | OUT | C$81.36 | Dec 29, 2023 | +13.5% | ✕ wrong |
| Feb 28, 2023 | IN | C$87.82 | Nov 30, 2023 | −7.4% | ✕ wrong |
| Jan 31, 2023 | OUT | C$87.59 | Feb 28, 2023 | +0.3% | ✕ wrong |
| Dec 30, 2022 | IN | C$79.94 | Jan 31, 2023 | +9.6% | ✓ right |
| Jul 29, 2022 | OUT | C$77.11 | Dec 30, 2022 | +3.7% | ✕ wrong |
| Jun 30, 2022 | IN | C$72.49 | Jul 29, 2022 | +6.4% | ✓ right |
| May 31, 2022 | OUT | C$82.39 | Jun 30, 2022 | −12.0% | ✓ right |
| Dec 31, 2020 | IN | C$58.35 | May 31, 2022 | +41.2% | ✓ right |
| Nov 30, 2020 | OUT | C$58.02 | Dec 31, 2020 | +0.6% | ✕ wrong |
| Jul 31, 2020 | IN | C$50.45 | Nov 30, 2020 | +15.0% | ✓ right |
| Apr 30, 2020 | OUT | C$44.28 | Jul 31, 2020 | +14.0% | ✕ 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 27 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.