Momentum · month-end rule · Software & devices
12-1 Momentum on OpenText
What the play says
Latest reading: 12-1 return −31.5%
OTEX 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 OTEX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.9% | +9.9% | −12.3% | −7.7% |
| Total return | +183% | +675% | −48% | −33% |
| Worst drawdown | −58.3% | −53.0% | −55.7% | −50.7% |
| Volatility | 25.9% | 31.2% | 18.7% | 31.1% |
| Sharpe ratio | 0.25 | 0.40 | −0.81 | −0.22 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 18 of 40 closed calls (45%). In calls averaged +9.4%; out calls saw OTEX move +5.9% on average.
| Called | Call | Price | Until | OTEX moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | OUT | C$32.67 | now | +8.8% | open |
| Sep 30, 2025 | IN | C$49.88 | Feb 27, 2026 | −34.5% | ✕ wrong |
| Nov 29, 2024 | OUT | C$39.77 | Sep 30, 2025 | +25.4% | ✕ wrong |
| Oct 31, 2024 | IN | C$38.62 | Nov 29, 2024 | +3.0% | ✓ right |
| May 31, 2024 | OUT | C$36.58 | Oct 31, 2024 | +5.6% | ✕ wrong |
| Apr 28, 2023 | IN | C$45.51 | May 31, 2024 | −19.6% | ✕ wrong |
| Mar 31, 2022 | OUT | C$45.69 | Apr 28, 2023 | −0.4% | ✓ right |
| Jul 30, 2021 | IN | C$55.08 | Mar 31, 2022 | −17.1% | ✕ wrong |
| Jun 30, 2021 | OUT | C$53.51 | Jul 30, 2021 | +2.9% | ✕ wrong |
| Feb 26, 2021 | IN | C$47.76 | Jun 30, 2021 | +12.0% | ✓ right |
| Jan 29, 2021 | OUT | C$48.27 | Feb 26, 2021 | −1.0% | ✓ right |
| Dec 31, 2020 | IN | C$48.74 | Jan 29, 2021 | −1.0% | ✕ 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 41 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.