Momentum · month-end rule · Media & telecom
12-1 Momentum on Telus
What the play says
Latest reading: 12-1 return −34.3%
T 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 T over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.6% | +6.0% | +1.3% | −10.7% |
| Total return | +970% | +251% | +6% | −43% |
| Worst drawdown | −27.1% | −56.7% | −21.4% | −56.7% |
| Volatility | 15.8% | 20.5% | 10.9% | 18.2% |
| Sharpe ratio | 0.66 | 0.30 | −0.18 | −0.74 |
| Time invested | 73% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 16 of 21 closed calls (76%). In calls averaged +30.4%; out calls saw T move −5.2% on average.
| Called | Call | Price | Until | T moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | OUT | C$17.00 | now | −32.2% | open |
| Mar 31, 2025 | IN | C$18.26 | Dec 31, 2025 | −6.9% | ✕ wrong |
| Nov 29, 2024 | OUT | C$18.61 | Mar 31, 2025 | −1.9% | ✓ right |
| Aug 30, 2024 | IN | C$18.28 | Nov 29, 2024 | +1.9% | ✓ right |
| Dec 30, 2022 | OUT | C$20.03 | Aug 30, 2024 | −8.8% | ✓ right |
| Feb 26, 2021 | IN | C$17.87 | Dec 30, 2022 | +12.1% | ✓ right |
| Jan 29, 2021 | OUT | C$18.50 | Feb 26, 2021 | −3.4% | ✓ right |
| Dec 31, 2020 | IN | C$17.67 | Jan 29, 2021 | +4.7% | ✓ right |
| Nov 30, 2020 | OUT | C$17.35 | Dec 31, 2020 | +1.9% | ✕ wrong |
| Jun 30, 2020 | IN | C$15.58 | Nov 30, 2020 | +11.4% | ✓ right |
| Apr 30, 2020 | OUT | C$15.39 | Jun 30, 2020 | +1.2% | ✕ wrong |
| Dec 31, 2018 | IN | C$14.44 | Apr 30, 2020 | +6.6% | ✓ right |
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 22 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.