Momentum · month-end rule · Industrials & materials
12-1 Momentum on Winpak
What the play says
Latest reading: 12-1 return 8.4%
WPK 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 WPK over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.8% | +9.0% | −1.3% | +4.4% |
| Total return | +651% | +543% | −6% | +24% |
| Worst drawdown | −53.0% | −68.1% | −24.0% | −24.0% |
| Volatility | 22.4% | 30.2% | 17.2% | 21.3% |
| Sharpe ratio | 0.45 | 0.38 | −0.21 | 0.13 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 19 of 40 closed calls (48%). In calls averaged +16.5%; out calls saw WPK move +0.8% on average.
| Called | Call | Price | Until | WPK moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | IN | C$43.92 | now | +2.3% | open |
| May 29, 2026 | OUT | C$40.97 | Jul 31, 2026 | +7.2% | ✕ wrong |
| Jan 30, 2026 | IN | C$42.86 | May 29, 2026 | −4.4% | ✕ wrong |
| Aug 29, 2025 | OUT | C$41.58 | Jan 30, 2026 | +3.1% | ✕ wrong |
| May 30, 2025 | IN | C$43.83 | Aug 29, 2025 | −5.1% | ✕ wrong |
| Apr 30, 2025 | OUT | C$42.42 | May 30, 2025 | +3.3% | ✕ wrong |
| May 31, 2024 | IN | C$40.43 | Apr 30, 2025 | +4.9% | ✓ right |
| Mar 28, 2024 | OUT | C$37.55 | May 31, 2024 | +7.7% | ✕ wrong |
| Feb 29, 2024 | IN | C$37.32 | Mar 28, 2024 | +0.6% | ✓ right |
| Jun 30, 2023 | OUT | C$38.11 | Feb 29, 2024 | −2.1% | ✓ right |
| May 31, 2022 | IN | C$37.83 | Jun 30, 2023 | +0.7% | ✓ right |
| Mar 31, 2022 | OUT | C$35.39 | May 31, 2022 | +6.9% | ✕ 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 41 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.