Momentum · month-end rule · Financials
12-1 Momentum on Onex
What the play says
Latest reading: 12-1 return −8.2%
ONEX 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 ONEX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.6% | +8.3% | +1.9% | +2.6% |
| Total return | +500% | +464% | +10% | +14% |
| Worst drawdown | −54.5% | −68.1% | −29.2% | −40.6% |
| Volatility | 19.7% | 26.5% | 20.5% | 26.1% |
| Sharpe ratio | 0.43 | 0.37 | 0.01 | 0.09 |
| Time invested | 72% | 100% | ||
| Switches per year | 0.7 | 0 |
Every call, graded
Right on 6 of 15 closed calls (40%). In calls averaged +42.7%; out calls saw ONEX move +2.5% on average.
| Called | Call | Price | Until | ONEX moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | C$105.86 | now | −5.1% | open |
| Jan 30, 2026 | IN | C$115.69 | Jun 30, 2026 | −8.5% | ✕ wrong |
| Dec 31, 2025 | OUT | C$112.44 | Jan 30, 2026 | +2.9% | ✕ wrong |
| May 30, 2025 | IN | C$101.23 | Dec 31, 2025 | +11.1% | ✓ right |
| Apr 30, 2025 | OUT | C$96.99 | May 30, 2025 | +4.4% | ✕ wrong |
| Jul 31, 2023 | IN | C$79.89 | Apr 30, 2025 | +21.4% | ✓ right |
| May 31, 2022 | OUT | C$73.88 | Jul 31, 2023 | +8.1% | ✕ wrong |
| Mar 31, 2021 | IN | C$76.08 | May 31, 2022 | −2.9% | ✕ wrong |
| Apr 30, 2020 | OUT | C$62.16 | Mar 31, 2021 | +22.4% | ✕ wrong |
| Dec 31, 2019 | IN | C$79.36 | Apr 30, 2020 | −21.7% | ✕ wrong |
| Feb 28, 2018 | OUT | C$90.27 | Dec 31, 2019 | −12.1% | ✓ right |
| Oct 30, 2009 | IN | C$22.79 | Feb 28, 2018 | +296.1% | ✓ 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 16 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.