Momentum · month-end rule · Industrials & materials
12-1 Momentum on Nutrien
What the play says
Latest reading: 12-1 return 31.1%
NTR 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 2019
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding NTR over exactly the same dates, after costs.
| Play, since 2019 | Hold, since 2019 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.0% | +8.9% | +9.9% | +5.9% |
| Total return | +108% | +92% | +60% | +33% |
| Worst drawdown | −38.0% | −54.2% | −38.0% | −54.2% |
| Volatility | 24.7% | 32.4% | 27.8% | 32.1% |
| Sharpe ratio | 0.40 | 0.34 | 0.34 | 0.22 |
| Time invested | 62% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 4 of 10 closed calls (40%). In calls averaged +10.0%; out calls saw NTR move +0.7% on average.
| Called | Call | Price | Until | NTR moved | Result |
|---|---|---|---|---|---|
| Jan 31, 2025 | IN | C$70.48 | now | +41.1% | open |
| Jul 31, 2024 | OUT | C$64.99 | Jan 31, 2025 | +8.4% | ✕ wrong |
| May 31, 2024 | IN | C$72.54 | Jul 31, 2024 | −10.4% | ✕ wrong |
| Mar 31, 2023 | OUT | C$87.37 | May 31, 2024 | −17.0% | ✓ right |
| Dec 31, 2020 | IN | C$50.52 | Mar 31, 2023 | +72.9% | ✓ right |
| Jan 31, 2020 | OUT | C$44.36 | Dec 31, 2020 | +13.9% | ✕ wrong |
| Dec 31, 2019 | IN | C$48.82 | Jan 31, 2020 | −9.1% | ✕ wrong |
| Sep 30, 2019 | OUT | C$51.35 | Dec 31, 2019 | −4.9% | ✓ right |
| Jul 31, 2019 | IN | C$55.78 | Sep 30, 2019 | −7.9% | ✕ wrong |
| Jun 28, 2019 | OUT | C$54.00 | Jul 31, 2019 | +3.3% | ✕ wrong |
| Jan 31, 2019 | IN | C$51.62 | Jun 28, 2019 | +4.6% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 11 of 11 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.