Momentum · month-end rule · Industrials & materials
12-1 Momentum on 5N Plus
What the play says
Latest reading: 12-1 return 49.9%
VNP 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 2009
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding VNP over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.5% | +10.3% | +54.3% | +61.1% |
| Total return | +322% | +466% | +765% | +974% |
| Worst drawdown | −77.4% | −90.3% | −49.9% | −65.3% |
| Volatility | 36.4% | 53.4% | 44.0% | 54.4% |
| Sharpe ratio | 0.37 | 0.42 | 1.12 | 1.08 |
| Time invested | 59% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 7 of 21 closed calls (33%). In calls averaged −7.8%; out calls saw VNP move +8.5% on average.
| Called | Call | Price | Until | VNP moved | Result |
|---|---|---|---|---|---|
| Nov 30, 2022 | IN | C$3.00 | now | +891.3% | open |
| Dec 31, 2021 | OUT | C$2.38 | Nov 30, 2022 | +26.1% | ✕ wrong |
| Dec 31, 2020 | IN | C$2.95 | Dec 31, 2021 | −19.3% | ✕ wrong |
| Jun 28, 2019 | OUT | C$2.66 | Dec 31, 2020 | +10.9% | ✕ wrong |
| Jan 31, 2019 | IN | C$3.22 | Jun 28, 2019 | −17.4% | ✕ wrong |
| Dec 31, 2018 | OUT | C$3.10 | Jan 31, 2019 | +3.9% | ✕ wrong |
| Jun 29, 2018 | IN | C$3.35 | Dec 31, 2018 | −7.5% | ✕ wrong |
| May 31, 2018 | OUT | C$3.46 | Jun 29, 2018 | −3.2% | ✓ right |
| Jun 30, 2017 | IN | C$3.23 | May 31, 2018 | +7.1% | ✓ right |
| Mar 31, 2017 | OUT | C$1.95 | Jun 30, 2017 | +65.6% | ✕ wrong |
| May 31, 2016 | IN | C$2.15 | Mar 31, 2017 | −9.3% | ✕ wrong |
| Jan 30, 2015 | OUT | C$2.28 | May 31, 2016 | −5.7% | ✓ 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 22 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.