Momentum · month-end rule · Industrials & materials
12-1 Momentum on Stantec
What the play says
Latest reading: 12-1 return −32.2%
STN 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 STN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.6% | +14.5% | +9.7% | +10.3% |
| Total return | +778% | +1,778% | +58% | +63% |
| Worst drawdown | −46.1% | −58.1% | −36.8% | −40.4% |
| Volatility | 21.5% | 28.4% | 22.0% | 24.3% |
| Sharpe ratio | 0.49 | 0.56 | 0.36 | 0.37 |
| Time invested | 73% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 20 of 41 closed calls (49%). In calls averaged +15.1%; out calls saw STN move +5.1% on average.
| Called | Call | Price | Until | STN moved | Result |
|---|---|---|---|---|---|
| May 29, 2026 | OUT | C$103.65 | now | −7.1% | open |
| Mar 31, 2025 | IN | C$117.88 | May 29, 2026 | −12.1% | ✕ wrong |
| Feb 28, 2025 | OUT | C$121.58 | Mar 31, 2025 | −3.0% | ✓ right |
| Feb 28, 2023 | IN | C$76.91 | Feb 28, 2025 | +58.1% | ✓ right |
| Oct 31, 2022 | OUT | C$64.50 | Feb 28, 2023 | +19.2% | ✕ wrong |
| Aug 31, 2022 | IN | C$60.13 | Oct 31, 2022 | +7.3% | ✓ right |
| Jul 29, 2022 | OUT | C$60.96 | Aug 31, 2022 | −1.4% | ✓ right |
| Dec 31, 2019 | IN | C$34.26 | Jul 29, 2022 | +77.9% | ✓ right |
| Jun 28, 2019 | OUT | C$29.08 | Dec 31, 2019 | +17.8% | ✕ wrong |
| May 31, 2019 | IN | C$28.84 | Jun 28, 2019 | +0.8% | ✓ right |
| Apr 30, 2019 | OUT | C$30.90 | May 31, 2019 | −6.6% | ✓ right |
| Mar 29, 2019 | IN | C$29.08 | Apr 30, 2019 | +6.2% | ✓ 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 42 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.