Momentum · month-end rule · Industrials & materials
12-1 Momentum on West Fraser Timber
What the play says
Latest reading: 12-1 return 1.3%
WFG 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 WFG over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.3% | +7.6% | −3.9% | −2.7% |
| Total return | +273% | +386% | −18% | −13% |
| Worst drawdown | −51.7% | −76.2% | −30.9% | −40.6% |
| Volatility | 25.2% | 36.0% | 23.2% | 32.1% |
| Sharpe ratio | 0.30 | 0.33 | −0.22 | −0.04 |
| Time invested | 56% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 18 of 38 closed calls (47%). In calls averaged +8.9%; out calls saw WFG move +3.0% on average.
| Called | Call | Price | Until | WFG moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | C$98.67 | now | −7.6% | open |
| Aug 31, 2026 | OUT | C$94.02 | Sep 30, 2026 | +4.9% | ✕ wrong |
| Jul 31, 2026 | IN | C$90.37 | Aug 31, 2026 | +4.0% | ✓ right |
| May 30, 2025 | OUT | C$98.27 | Jul 31, 2026 | −8.0% | ✓ right |
| Apr 30, 2025 | IN | C$99.21 | May 30, 2025 | −1.0% | ✕ wrong |
| Mar 31, 2025 | OUT | C$107.43 | Apr 30, 2025 | −7.7% | ✓ right |
| Aug 30, 2024 | IN | C$114.61 | Mar 31, 2025 | −6.3% | ✕ wrong |
| Jun 28, 2024 | OUT | C$100.98 | Aug 30, 2024 | +13.5% | ✕ wrong |
| Feb 29, 2024 | IN | C$104.16 | Jun 28, 2024 | −3.1% | ✕ wrong |
| Jan 31, 2024 | OUT | C$101.96 | Feb 29, 2024 | +2.2% | ✕ wrong |
| Dec 29, 2023 | IN | C$108.11 | Jan 31, 2024 | −5.7% | ✕ wrong |
| Oct 31, 2023 | OUT | C$88.95 | Dec 29, 2023 | +21.5% | ✕ 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 39 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.