Momentum · month-end rule · Energy & power
12-1 Momentum on TransAlta
What the play says
Latest reading: 12-1 return −10.9%
TA 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 TA over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.4% | +3.5% | +2.2% | +7.1% |
| Total return | +105% | +108% | +11% | +41% |
| Worst drawdown | −57.8% | −84.1% | −44.2% | −44.2% |
| Volatility | 23.4% | 29.9% | 29.4% | 33.4% |
| Sharpe ratio | 0.18 | 0.20 | 0.09 | 0.26 |
| Time invested | 57% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 18 of 37 closed calls (49%). In calls averaged +4.4%; out calls saw TA move +1.9% on average.
| Called | Call | Price | Until | TA moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$17.22 | now | +4.9% | open |
| Sep 30, 2024 | IN | C$13.59 | Sep 30, 2026 | +26.7% | ✓ right |
| Nov 30, 2023 | OUT | C$10.51 | Sep 30, 2024 | +29.2% | ✕ wrong |
| Aug 31, 2023 | IN | C$12.29 | Nov 30, 2023 | −14.5% | ✕ wrong |
| Mar 31, 2023 | OUT | C$11.11 | Aug 31, 2023 | +10.7% | ✕ wrong |
| Feb 28, 2023 | IN | C$10.39 | Mar 31, 2023 | +6.9% | ✓ right |
| Sep 30, 2022 | OUT | C$11.37 | Feb 28, 2023 | −8.6% | ✓ right |
| Feb 26, 2021 | IN | C$10.12 | Sep 30, 2022 | +12.4% | ✓ right |
| Nov 30, 2020 | OUT | C$8.15 | Feb 26, 2021 | +24.1% | ✕ wrong |
| Oct 30, 2020 | IN | C$7.12 | Nov 30, 2020 | +14.5% | ✓ right |
| Sep 30, 2020 | OUT | C$7.39 | Oct 30, 2020 | −3.5% | ✓ right |
| Jul 31, 2020 | IN | C$7.86 | Sep 30, 2020 | −6.0% | ✕ 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 38 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.