Momentum · month-end rule · Indexes & ETFs
12-1 Momentum on S&P/TSX 60 ETF
What the play says
Latest reading: 12-1 return 22.6%
XIU 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 XIU over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.8% | +9.7% | +13.6% | +14.4% |
| Total return | +406% | +634% | +89% | +95% |
| Worst drawdown | −42.1% | −47.9% | −16.0% | −16.4% |
| Volatility | 14.1% | 16.9% | 11.7% | 12.9% |
| Sharpe ratio | 0.48 | 0.53 | 0.83 | 0.81 |
| Time invested | 79% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 8 of 18 closed calls (44%). In calls averaged +12.4%; out calls saw XIU move +4.7% on average.
| Called | Call | Price | Until | XIU moved | Result |
|---|---|---|---|---|---|
| Dec 29, 2023 | IN | C$29.71 | now | +79.4% | open |
| Nov 30, 2023 | OUT | C$28.55 | Dec 29, 2023 | +4.1% | ✕ wrong |
| May 31, 2023 | IN | C$27.09 | Nov 30, 2023 | +5.4% | ✓ right |
| Mar 31, 2023 | OUT | C$27.63 | May 31, 2023 | −1.9% | ✓ right |
| Feb 28, 2023 | IN | C$27.77 | Mar 31, 2023 | −0.5% | ✕ wrong |
| Jul 29, 2022 | OUT | C$26.64 | Feb 28, 2023 | +4.3% | ✕ wrong |
| Dec 31, 2020 | IN | C$22.15 | Jul 29, 2022 | +20.3% | ✓ right |
| Nov 30, 2020 | OUT | C$21.94 | Dec 31, 2020 | +0.9% | ✕ wrong |
| Aug 31, 2020 | IN | C$20.97 | Nov 30, 2020 | +4.6% | ✓ right |
| Apr 30, 2020 | OUT | C$18.71 | Aug 31, 2020 | +12.1% | ✕ wrong |
| Feb 28, 2019 | IN | C$19.24 | Apr 30, 2020 | −2.7% | ✕ wrong |
| Nov 30, 2018 | OUT | C$18.29 | Feb 28, 2019 | +5.2% | ✕ 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 19 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.