Momentum · month-end rule · Consumer & retail
12-1 Momentum on Restaurant Brands International
What the play says
Latest reading: 12-1 return 24.3%
QSR 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 2016
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding QSR over exactly the same dates, after costs.
| Play, since 2016 | Hold, since 2016 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.9% | +10.1% | +10.8% | +9.8% |
| Total return | +105% | +182% | +67% | +59% |
| Worst drawdown | −30.9% | −60.0% | −17.9% | −20.8% |
| Volatility | 17.5% | 26.3% | 17.0% | 21.9% |
| Sharpe ratio | 0.34 | 0.41 | 0.47 | 0.36 |
| Time invested | 67% | 100% | ||
| Switches per year | 2.4 | 0 |
Every call, graded
Right on 13 of 26 closed calls (50%). In calls averaged +4.7%; out calls saw QSR move +3.2% on average.
| Called | Call | Price | Until | QSR moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$91.19 | now | +11.2% | open |
| Sep 30, 2025 | OUT | C$86.15 | Dec 31, 2025 | +5.8% | ✕ wrong |
| Aug 29, 2025 | IN | C$83.12 | Sep 30, 2025 | +3.7% | ✓ right |
| Jul 31, 2025 | OUT | C$89.86 | Aug 29, 2025 | −7.5% | ✓ right |
| Jun 30, 2025 | IN | C$86.33 | Jul 31, 2025 | +4.1% | ✓ right |
| Dec 31, 2024 | OUT | C$87.89 | Jun 30, 2025 | −1.8% | ✓ right |
| Aug 30, 2024 | IN | C$86.35 | Dec 31, 2024 | +1.8% | ✓ right |
| Jun 28, 2024 | OUT | C$88.90 | Aug 30, 2024 | −2.9% | ✓ right |
| Sep 30, 2022 | IN | C$64.13 | Jun 28, 2024 | +38.6% | ✓ right |
| Feb 28, 2022 | OUT | C$60.11 | Sep 30, 2022 | +6.7% | ✕ wrong |
| Jan 31, 2022 | IN | C$60.23 | Feb 28, 2022 | −0.2% | ✕ wrong |
| Nov 30, 2021 | OUT | C$59.99 | Jan 31, 2022 | +0.4% | ✕ 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 27 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.