Momentum · month-end rule · Consumer & retail
12-1 Momentum on Saputo
What the play says
Latest reading: 12-1 return 22.1%
SAP 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 SAP over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.8% | +9.1% | −3.0% | +7.4% |
| Total return | +83% | +560% | −14% | +43% |
| Worst drawdown | −65.0% | −44.6% | −37.0% | −35.3% |
| Volatility | 17.7% | 23.2% | 17.1% | 23.6% |
| Sharpe ratio | 0.15 | 0.42 | −0.31 | 0.26 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 11 of 32 closed calls (34%). In calls averaged +3.9%; out calls saw SAP move +9.8% on average.
| Called | Call | Price | Until | SAP moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | C$33.14 | now | +19.2% | open |
| Jun 30, 2025 | OUT | C$27.16 | Sep 30, 2025 | +22.0% | ✕ wrong |
| May 30, 2025 | IN | C$25.59 | Jun 30, 2025 | +6.2% | ✓ right |
| Dec 31, 2024 | OUT | C$24.00 | May 30, 2025 | +6.6% | ✕ wrong |
| Jul 31, 2024 | IN | C$30.07 | Dec 31, 2024 | −20.2% | ✕ wrong |
| Jul 31, 2023 | OUT | C$25.69 | Jul 31, 2024 | +17.0% | ✕ wrong |
| Sep 30, 2022 | IN | C$29.90 | Jul 31, 2023 | −14.1% | ✕ wrong |
| Nov 30, 2021 | OUT | C$25.07 | Sep 30, 2022 | +19.3% | ✕ wrong |
| Mar 31, 2021 | IN | C$33.17 | Nov 30, 2021 | −24.4% | ✕ wrong |
| Feb 28, 2020 | OUT | C$31.98 | Mar 31, 2021 | +3.7% | ✕ wrong |
| Dec 31, 2019 | IN | C$34.42 | Feb 28, 2020 | −7.1% | ✕ wrong |
| Nov 29, 2019 | OUT | C$34.23 | Dec 31, 2019 | +0.6% | ✕ 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 33 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.