Momentum · month-end rule · Media & telecom
12-1 Momentum on Quebecor
What the play says
Latest reading: 12-1 return 43.9%
QBR.B 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 QBR.B over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.3% | +12.4% | +15.1% | +20.7% |
| Total return | +739% | +1,155% | +101% | +155% |
| Worst drawdown | −28.9% | −66.6% | −20.6% | −25.1% |
| Volatility | 18.6% | 25.0% | 18.6% | 22.1% |
| Sharpe ratio | 0.53 | 0.52 | 0.65 | 0.79 |
| Time invested | 74% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 8 of 23 closed calls (35%). In calls averaged +17.4%; out calls saw QBR.B move +5.0% on average.
| Called | Call | Price | Until | QBR.B moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$31.38 | now | +105.4% | open |
| Mar 28, 2024 | OUT | C$27.26 | Aug 30, 2024 | +15.1% | ✕ wrong |
| Dec 30, 2022 | IN | C$26.41 | Mar 28, 2024 | +3.2% | ✓ right |
| Dec 31, 2021 | OUT | C$23.94 | Dec 30, 2022 | +10.3% | ✕ wrong |
| Oct 29, 2021 | IN | C$26.20 | Dec 31, 2021 | −8.6% | ✕ wrong |
| Sep 30, 2021 | OUT | C$25.43 | Oct 29, 2021 | +3.0% | ✕ wrong |
| Dec 31, 2020 | IN | C$26.53 | Sep 30, 2021 | −4.1% | ✕ wrong |
| Nov 30, 2020 | OUT | C$26.19 | Dec 31, 2020 | +1.3% | ✕ wrong |
| Aug 31, 2020 | IN | C$26.03 | Nov 30, 2020 | +0.6% | ✓ right |
| Mar 31, 2020 | OUT | C$24.72 | Aug 31, 2020 | +5.3% | ✕ wrong |
| Dec 31, 2015 | IN | C$12.99 | Mar 31, 2020 | +90.3% | ✓ right |
| Nov 30, 2015 | OUT | C$12.68 | Dec 31, 2015 | +2.4% | ✕ 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 24 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.