Momentum · month-end rule · Consumer & retail
12-1 Momentum on George Weston
What the play says
Latest reading: 12-1 return 15.6%
WN 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 WN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.3% | +7.0% | +17.7% | +20.2% |
| Total return | +148% | +329% | +125% | +150% |
| Worst drawdown | −43.9% | −60.8% | −19.6% | −19.6% |
| Volatility | 16.6% | 20.2% | 18.7% | 19.1% |
| Sharpe ratio | 0.23 | 0.35 | 0.76 | 0.86 |
| Time invested | 66% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 9 of 26 closed calls (35%). In calls averaged +3.5%; out calls saw WN move +5.6% on average.
| Called | Call | Price | Until | WN moved | Result |
|---|---|---|---|---|---|
| Feb 29, 2024 | IN | C$57.04 | now | +84.8% | open |
| Nov 30, 2023 | OUT | C$50.84 | Feb 29, 2024 | +12.2% | ✕ wrong |
| Apr 30, 2021 | IN | C$33.21 | Nov 30, 2023 | +53.1% | ✓ right |
| Jul 31, 2020 | OUT | C$30.46 | Apr 30, 2021 | +9.0% | ✕ wrong |
| Jun 30, 2020 | IN | C$29.94 | Jul 31, 2020 | +1.7% | ✓ right |
| May 29, 2020 | OUT | C$29.78 | Jun 30, 2020 | +0.5% | ✕ wrong |
| Aug 30, 2019 | IN | C$31.90 | May 29, 2020 | −6.7% | ✕ wrong |
| Sep 28, 2018 | OUT | C$28.37 | Aug 30, 2019 | +12.5% | ✕ wrong |
| Jul 31, 2018 | IN | C$31.25 | Sep 28, 2018 | −9.2% | ✕ wrong |
| Nov 30, 2017 | OUT | C$31.32 | Jul 31, 2018 | −0.2% | ✓ right |
| Sep 29, 2017 | IN | C$30.96 | Nov 30, 2017 | +1.2% | ✓ right |
| Aug 31, 2017 | OUT | C$30.79 | Sep 29, 2017 | +0.5% | ✕ 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 27 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.