Momentum · month-end rule · Healthcare
12-1 Momentum on Sienna Senior Living
What the play says
Latest reading: 12-1 return 16.3%
SIA 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 2011
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SIA over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.4% | +10.8% | +14.2% | +13.2% |
| Total return | +202% | +384% | +93% | +85% |
| Worst drawdown | −52.5% | −53.2% | −17.3% | −28.6% |
| Volatility | 17.9% | 21.7% | 16.4% | 19.8% |
| Sharpe ratio | 0.40 | 0.51 | 0.66 | 0.53 |
| Time invested | 78% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 8 of 16 closed calls (50%). In calls averaged +6.8%; out calls saw SIA move +7.7% on average.
| Called | Call | Price | Until | SIA moved | Result |
|---|---|---|---|---|---|
| Dec 29, 2023 | IN | C$9.91 | now | +95.4% | open |
| Oct 31, 2023 | OUT | C$8.53 | Dec 29, 2023 | +16.2% | ✕ wrong |
| Sep 29, 2023 | IN | C$9.02 | Oct 31, 2023 | −5.4% | ✕ wrong |
| May 31, 2022 | OUT | C$10.30 | Sep 29, 2023 | −12.5% | ✓ right |
| Mar 31, 2021 | IN | C$10.09 | May 31, 2022 | +2.1% | ✓ right |
| Mar 31, 2020 | OUT | C$7.98 | Mar 31, 2021 | +26.5% | ✕ wrong |
| Feb 28, 2019 | IN | C$11.16 | Mar 31, 2020 | −28.5% | ✕ wrong |
| Nov 30, 2018 | OUT | C$10.19 | Feb 28, 2019 | +9.5% | ✕ wrong |
| Sep 28, 2018 | IN | C$10.31 | Nov 30, 2018 | −1.2% | ✕ wrong |
| Aug 31, 2018 | OUT | C$10.51 | Sep 28, 2018 | −1.9% | ✓ right |
| Jul 31, 2018 | IN | C$9.79 | Aug 31, 2018 | +7.4% | ✓ right |
| Jun 29, 2018 | OUT | C$9.86 | Jul 31, 2018 | −0.6% | ✓ 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 17 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.