Momentum · month-end rule · Industrials & materials
12-1 Momentum on Richelieu Hardware
What the play says
Latest reading: 12-1 return 5.7%
RCH 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 RCH over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.1% | +9.2% | −5.8% | −1.3% |
| Total return | +340% | +574% | −26% | −6% |
| Worst drawdown | −42.5% | −45.8% | −42.5% | −35.2% |
| Volatility | 18.8% | 26.5% | 17.4% | 25.6% |
| Sharpe ratio | 0.36 | 0.40 | −0.48 | −0.07 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 11 of 26 closed calls (42%). In calls averaged +16.0%; out calls saw RCH move +5.2% on average.
| Called | Call | Price | Until | RCH moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | C$36.17 | now | +4.6% | open |
| Aug 31, 2026 | OUT | C$35.57 | Sep 30, 2026 | +1.7% | ✕ wrong |
| Feb 27, 2026 | IN | C$43.18 | Aug 31, 2026 | −17.6% | ✕ wrong |
| Jan 30, 2026 | OUT | C$40.38 | Feb 27, 2026 | +6.9% | ✕ wrong |
| Dec 31, 2025 | IN | C$39.08 | Jan 30, 2026 | +3.3% | ✓ right |
| Oct 31, 2024 | OUT | C$35.64 | Dec 31, 2025 | +9.6% | ✕ wrong |
| Sep 30, 2024 | IN | C$38.80 | Oct 31, 2024 | −8.1% | ✕ wrong |
| May 31, 2024 | OUT | C$36.67 | Sep 30, 2024 | +5.8% | ✕ wrong |
| Apr 28, 2023 | IN | C$38.72 | May 31, 2024 | −5.3% | ✕ wrong |
| May 31, 2022 | OUT | C$35.01 | Apr 28, 2023 | +10.6% | ✕ wrong |
| Oct 31, 2019 | IN | C$24.80 | May 31, 2022 | +41.2% | ✓ right |
| Jul 31, 2018 | OUT | C$25.50 | Oct 31, 2019 | −2.7% | ✓ right |
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.