Momentum · month-end rule · Consumer & retail
12-1 Momentum on Pet Valu
What the play says
Latest reading: 12-1 return −47.0%
PET 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 2022
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PET over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −4.5% | −9.2% | −4.5% | −9.2% |
| Total return | −18% | −34% | −18% | −34% |
| Worst drawdown | −47.8% | −58.2% | −47.8% | −58.2% |
| Volatility | 19.8% | 28.8% | 19.8% | 28.8% |
| Sharpe ratio | −0.35 | −0.34 | −0.35 | −0.34 |
| Time invested | 52% | 100% | ||
| Switches per year | 2.1 | 0 |
Every call, graded
Right on 4 of 9 closed calls (44%). In calls averaged −4.5%; out calls saw PET move −0.1% on average.
| Called | Call | Price | Until | PET moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | C$20.97 | now | −10.5% | open |
| May 30, 2025 | IN | C$30.02 | Apr 30, 2026 | −30.1% | ✕ wrong |
| Nov 29, 2024 | OUT | C$26.41 | May 30, 2025 | +13.6% | ✕ wrong |
| Aug 30, 2024 | IN | C$23.42 | Nov 29, 2024 | +12.8% | ✓ right |
| Jun 28, 2024 | OUT | C$25.16 | Aug 30, 2024 | −6.9% | ✓ right |
| May 31, 2024 | IN | C$25.70 | Jun 28, 2024 | −2.1% | ✕ wrong |
| Jul 31, 2023 | OUT | C$28.73 | May 31, 2024 | −10.5% | ✓ right |
| Sep 30, 2022 | IN | C$32.49 | Jul 31, 2023 | −11.6% | ✕ wrong |
| Aug 31, 2022 | OUT | C$31.37 | Sep 30, 2022 | +3.6% | ✕ wrong |
| Jun 30, 2022 | IN | C$28.84 | Aug 31, 2022 | +8.8% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 10 of 10 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.