Strategy 12C

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Structure and operation

The 12C strategy trades Canadian ETFs. It allows investing in Canada in Canadian dollars, which is practical for me as a Canadian resident.

12C is highly performant. It balances return and volatility. Since its creation in 2021, it has proven better than most of my American strategies, which surprises me given the superior selection of ETFs available on the American market. What makes it performant is its use of neutral ETFs that track broad market sectors.

Here is a table of performances and annual returns since 2015. The analysis period begins in 2015 because certain ETFs were not available before that; this is what limits the calculation period for backtests.

  
      Performance (2015-2025)
      12C
      S&P 500
    
      CAGR
      26.50%
      13.37%
    
      Standard Deviation
      18.82%
      14.98%
    
      Best Year
      80.20%
      31.33%
    
      Worst Year
      -0.31%
      -18.23%
    
      Maximum Drawdown
      -20.09%
      -23.95%
    
      Sharpe Ratio
      1.24
      0.79
    
      Sortino Ratio
      2.45
      1.23
    
      Benchmark Correlation
      0.58
      1.00
    
      Positive Periods
      92/132
      92/132
    
      Gain/Loss Ratio
      1.25
      0.85
    
      Average Annual Turnover
      240%

Performance (2015-2025)	12C	S&P 500
CAGR	26.50%	13.37%
Standard Deviation	18.82%	14.98%
Best Year	80.20%	31.33%
Worst Year	-0.31%	-18.23%
Maximum Drawdown	-20.09%	-23.95%
Sharpe Ratio	1.24	0.79
Sortino Ratio	2.45	1.23
Benchmark Correlation	0.58	1.00
Positive Periods	92/132	92/132
Gain/Loss Ratio	1.25	0.85
Average Annual Turnover	240%

  
      Annual Returns
      12C
      S&P 500
    
      2026-04-03
      18.28%
      -3.56%
    
      2025
      32.42%
      17.71%
    
      2024
      24.77%
      24.84%
    
      2023
      17.91%
      26.11%
    
      2022
      16.30%
      -18.23%
    
      2021
      80.20%
      28.53%
    
      2020
      26.23%
      18.25%
    
      2019
      28.37%
      33.31%
    
      2018
      13.76%
      -4.52%
    
      2017
      17.01%
      21.67%
    
      2016
      51.24%
      11.82%
    
      2015
      -0.31%
      1.25%

Annual Returns	12C	S&P 500
2026-04-03	18.28%	-3.56%
2025	32.42%	17.71%
2024	24.77%	24.84%
2023	17.91%	26.11%
2022	16.30%	-18.23%
2021	80.20%	28.53%
2020	26.23%	18.25%
2019	28.37%	33.31%
2018	13.76%	-4.52%
2017	17.01%	21.67%
2016	51.24%	11.82%
2015	-0.31%	1.25%

Behaviour during periods of crisis

For the first quarter of 2026, with the war in Iran, the S&P 500 posted a negative return of −4%, while 12C showed a gain of 18%, a gap of 22% over three months.

As of March 31, 2026, 12C held: CGL, CNDU, NRGU, QQU, XEG, XMA.

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In April 2025, when the S&P 500 had dropped −14% following the announcement of Trump's tariffs in the United States, 12C showed a return of −9%. The return curve profiles were similar.

However, the chart illustrates a divergence in the curves starting in August 2025, where 12C continued to progress in an almost linear upward trajectory. This is explained by a transition in the assets held, which gradually shifted away from the American market toward international markets and commodities.

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For the year 2022, the S&P 500 finished with a loss of −18%, while 12C generated a positive return of 16%.

The chart below illustrates the daily returns and the fluctuation of the curves. From January to July, 12C climbed to 27%, before falling back below 0% over two months, while the S&P 500 was at −20% at the end of September. 12C then progressed again to finish the year at 16%, while the index did not recover.

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An exceptional year

2021 was an exceptional year for 12C with a return of 80%. Unfortunately, I was not invested at that time. The results therefore remain in-sample and are considered hypothetical.

Here is the 2021 table showing the return progression and fluctuations that were far more pronounced than the index.

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Origin of the strategy

I created strategy 12 in July 2021. The first version was composed of American ETFs that I quickly adapted with Canadian funds in the following weeks. I named it 12B to distinguish it from the US version. I was determined to develop a strong strategy for the Canadian market since, being based in Canada, I wanted to trade in my own currency. All my efforts until then had been focused on the American markets since 2018 because it offers the largest selection of ETFs, allowing me to run backtests with a much broader basket of funds and test more hypotheses.

In February 2022, at the start of the decline that led to a roughly 20% drop in the S&P 500, strategy 12B showed a pullback of −7.53% as of January 31, 2022, while the S&P 500 had declined −5.19%.

This situation led me to study the strategy further to see how to strengthen it in order to offset this above-market decline. I ran numerous backtests by adjusting parameters and modifying the ETF universe.

Prior to this episode, my strategies generally held few commodities, with the exception of gold. Commodities had little effect on returns in backtests, so I saw no reason to include them. I also considered that gold played the role of a commodity and that, as such, everything was balanced. A mistake. The historical limitations of backtests did not allow for the study of periods where commodities had an impact on returns. I revised the fund universe of the strategy, which I renamed 12C in February 2022. In March 2022, I began trading the strategy, which had been in incubation for seven months.

All returns shown in the tables since March 2022 are confirmed by real out-of-sample market data, which constitutes a significant walk-forward test. This extended period shows that the strategy is not overfitted to historical data — a situation that leads to unpredictable and volatile returns, or outright failure.