Momentum · month-end rule · Consumer & retail
12-1 Momentum on North West Company
What the play says
Latest reading: 12-1 return 4.0%
NWC 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 NWC over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.5% | +13.6% | +7.1% | +14.6% |
| Total return | +485% | +1,480% | +41% | +97% |
| Worst drawdown | −38.6% | −47.3% | −26.5% | −24.9% |
| Volatility | 20.3% | 24.5% | 19.7% | 22.6% |
| Sharpe ratio | 0.42 | 0.57 | 0.26 | 0.55 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 15 of 32 closed calls (47%). In calls averaged +13.9%; out calls saw NWC move +7.1% on average.
| Called | Call | Price | Until | NWC moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | IN | C$49.00 | now | +12.0% | open |
| May 29, 2026 | OUT | C$50.95 | Jun 30, 2026 | −3.8% | ✓ right |
| Dec 31, 2025 | IN | C$47.76 | May 29, 2026 | +6.7% | ✓ right |
| Oct 31, 2025 | OUT | C$44.06 | Dec 31, 2025 | +8.4% | ✕ wrong |
| Dec 29, 2023 | IN | C$35.83 | Oct 31, 2025 | +23.0% | ✓ right |
| Nov 30, 2023 | OUT | C$32.31 | Dec 29, 2023 | +10.9% | ✕ wrong |
| Oct 31, 2023 | IN | C$31.94 | Nov 30, 2023 | +1.2% | ✓ right |
| Jul 31, 2023 | OUT | C$28.67 | Oct 31, 2023 | +11.4% | ✕ wrong |
| Apr 28, 2023 | IN | C$35.06 | Jul 31, 2023 | −18.2% | ✕ wrong |
| Mar 31, 2023 | OUT | C$33.02 | Apr 28, 2023 | +6.2% | ✕ wrong |
| Nov 30, 2022 | IN | C$32.70 | Mar 31, 2023 | +1.0% | ✓ right |
| Oct 31, 2022 | OUT | C$30.65 | Nov 30, 2022 | +6.7% | ✕ 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 33 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.