Momentum · month-end rule · Industrials & materials
12-1 Momentum on Stella-Jones
What the play says
Latest reading: 12-1 return −12.1%
SJ 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 SJ over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +22.0% | +20.5% | +5.3% | +11.4% |
| Total return | +7,267% | +5,509% | +29% | +71% |
| Worst drawdown | −38.6% | −73.1% | −38.6% | −35.0% |
| Volatility | 23.0% | 28.5% | 21.6% | 27.4% |
| Sharpe ratio | 0.90 | 0.73 | 0.17 | 0.39 |
| Time invested | 71% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 9 of 19 closed calls (47%). In calls averaged +143.5%; out calls saw SJ move +1.0% on average.
| Called | Call | Price | Until | SJ moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$67.45 | now | −4.6% | open |
| Jul 31, 2026 | IN | C$76.96 | Sep 30, 2026 | −12.4% | ✕ wrong |
| Jun 30, 2026 | OUT | C$77.99 | Jul 31, 2026 | −1.3% | ✓ right |
| Nov 28, 2025 | IN | C$85.67 | Jun 30, 2026 | −9.0% | ✕ wrong |
| Dec 31, 2024 | OUT | C$69.16 | Nov 28, 2025 | +23.9% | ✕ wrong |
| Nov 30, 2022 | IN | C$45.06 | Dec 31, 2024 | +53.5% | ✓ right |
| Dec 31, 2021 | OUT | C$37.01 | Nov 30, 2022 | +21.8% | ✕ wrong |
| Nov 30, 2021 | IN | C$37.02 | Dec 31, 2021 | 0.0% | ✕ wrong |
| Sep 30, 2021 | OUT | C$39.28 | Nov 30, 2021 | −5.7% | ✓ right |
| Aug 31, 2020 | IN | C$41.10 | Sep 30, 2021 | −4.4% | ✕ wrong |
| Aug 30, 2019 | OUT | C$34.99 | Aug 31, 2020 | +17.5% | ✕ wrong |
| Jul 31, 2019 | IN | C$36.62 | Aug 30, 2019 | −4.5% | ✕ 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 20 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.