Momentum · month-end rule · Consumer & retail
12-1 Momentum on Premium Brands
What the play says
Latest reading: 12-1 return −12.6%
PBH 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 2009
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PBH over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +16.1% | +16.9% | −6.7% | −8.6% |
| Total return | +1,180% | +1,356% | −29% | −36% |
| Worst drawdown | −47.5% | −45.4% | −33.9% | −41.4% |
| Volatility | 18.9% | 22.7% | 15.8% | 24.0% |
| Sharpe ratio | 0.81 | 0.74 | −0.60 | −0.41 |
| Time invested | 77% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 7 of 16 closed calls (44%). In calls averaged +171.2%; out calls saw PBH move +3.5% on average.
| Called | Call | Price | Until | PBH moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$70.64 | now | +1.1% | open |
| Aug 31, 2026 | IN | C$78.38 | Sep 30, 2026 | −9.9% | ✕ wrong |
| Jul 31, 2026 | OUT | C$91.60 | Aug 31, 2026 | −14.4% | ✓ right |
| Aug 29, 2025 | IN | C$89.85 | Jul 31, 2026 | +2.0% | ✓ right |
| Dec 31, 2024 | OUT | C$73.62 | Aug 29, 2025 | +22.0% | ✕ wrong |
| Oct 31, 2024 | IN | C$80.06 | Dec 31, 2024 | −8.1% | ✕ wrong |
| Feb 29, 2024 | OUT | C$80.38 | Oct 31, 2024 | −0.4% | ✓ right |
| May 31, 2023 | IN | C$87.46 | Feb 29, 2024 | −8.1% | ✕ wrong |
| Mar 31, 2022 | OUT | C$92.63 | May 31, 2023 | −5.6% | ✓ right |
| Sep 30, 2020 | IN | C$82.45 | Mar 31, 2022 | +12.3% | ✓ right |
| Jun 30, 2020 | OUT | C$70.62 | Sep 30, 2020 | +16.8% | ✕ wrong |
| May 29, 2020 | IN | C$70.64 | Jun 30, 2020 | 0.0% | ✕ 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 17 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.