Momentum · month-end rule · Industrials & materials
12-1 Momentum on WSP Global
What the play says
Latest reading: 12-1 return −30.8%
WSP 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 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding WSP over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.3% | +16.2% | +4.7% | +0.8% |
| Total return | +376% | +475% | +25% | +4% |
| Worst drawdown | −37.1% | −44.5% | −30.7% | −44.5% |
| Volatility | 22.5% | 24.9% | 20.8% | 25.0% |
| Sharpe ratio | 0.61 | 0.64 | 0.14 | 0.01 |
| Time invested | 84% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 6 of 15 closed calls (40%). In calls averaged +27.2%; out calls saw WSP move +7.8% on average.
| Called | Call | Price | Until | WSP moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | OUT | C$215.59 | now | −24.2% | open |
| Jan 30, 2026 | IN | C$261.67 | Mar 31, 2026 | −17.6% | ✕ wrong |
| Dec 31, 2025 | OUT | C$247.05 | Jan 30, 2026 | +5.9% | ✕ wrong |
| Feb 28, 2023 | IN | C$166.91 | Dec 31, 2025 | +48.0% | ✓ right |
| Oct 31, 2022 | OUT | C$162.65 | Feb 28, 2023 | +2.6% | ✕ wrong |
| Sep 30, 2022 | IN | C$147.77 | Oct 31, 2022 | +10.1% | ✓ right |
| Jun 30, 2022 | OUT | C$141.01 | Sep 30, 2022 | +4.8% | ✕ wrong |
| Aug 30, 2019 | IN | C$67.02 | Jun 30, 2022 | +110.4% | ✓ right |
| Jul 31, 2019 | OUT | C$69.21 | Aug 30, 2019 | −3.2% | ✓ right |
| Nov 30, 2016 | IN | C$41.25 | Jul 31, 2019 | +67.8% | ✓ right |
| Jul 29, 2016 | OUT | C$33.60 | Nov 30, 2016 | +22.8% | ✕ wrong |
| May 31, 2016 | IN | C$36.24 | Jul 29, 2016 | −7.3% | ✕ 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 16 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.