Momentum · month-end rule · Industrials & materials
12-1 Momentum on NFI Group
What the play says
Latest reading: 12-1 return 57.6%
NFI 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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding NFI over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +16.3% | +10.4% | +11.1% | +2.7% |
| Total return | +681% | +285% | +69% | +14% |
| Worst drawdown | −55.7% | −86.0% | −48.4% | −72.7% |
| Volatility | 24.0% | 41.2% | 26.8% | 45.2% |
| Sharpe ratio | 0.67 | 0.40 | 0.38 | 0.20 |
| Time invested | 64% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 5 of 14 closed calls (36%). In calls averaged +72.4%; out calls saw NFI move −6.0% on average.
| Called | Call | Price | Until | NFI moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | IN | C$16.54 | now | +58.9% | open |
| Oct 31, 2025 | OUT | C$14.34 | Jan 30, 2026 | +15.3% | ✕ wrong |
| Sep 30, 2025 | IN | C$14.75 | Oct 31, 2025 | −2.8% | ✕ wrong |
| Aug 29, 2025 | OUT | C$18.44 | Sep 30, 2025 | −20.0% | ✓ right |
| Jul 31, 2025 | IN | C$19.10 | Aug 29, 2025 | −3.5% | ✕ wrong |
| May 30, 2025 | OUT | C$15.58 | Jul 31, 2025 | +22.6% | ✕ wrong |
| Apr 30, 2025 | IN | C$11.60 | May 30, 2025 | +34.3% | ✓ right |
| Feb 28, 2025 | OUT | C$11.60 | Apr 30, 2025 | 0.0% | ✕ wrong |
| Sep 29, 2023 | IN | C$12.92 | Feb 28, 2025 | −10.2% | ✕ wrong |
| Dec 31, 2021 | OUT | C$20.03 | Sep 29, 2023 | −35.5% | ✓ right |
| Feb 26, 2021 | IN | C$28.07 | Dec 31, 2021 | −28.6% | ✕ wrong |
| Oct 31, 2018 | OUT | C$37.81 | Feb 26, 2021 | −25.8% | ✓ 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 15 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.