Momentum · month-end rule · Industrials & materials
12-1 Momentum on Transcontinental
What the play says
Latest reading: 12-1 return 97.6%
TCL.A 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 TCL.A over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.4% | +7.0% | +22.0% | +21.6% |
| Total return | +473% | +332% | +169% | +164% |
| Worst drawdown | −38.3% | −78.7% | −22.4% | −46.8% |
| Volatility | 23.8% | 35.4% | 29.4% | 35.4% |
| Sharpe ratio | 0.38 | 0.32 | 0.68 | 0.61 |
| Time invested | 59% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 12 of 23 closed calls (52%). In calls averaged +6.8%; out calls saw TCL.A move +1.1% on average.
| Called | Call | Price | Until | TCL.A moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2024 | IN | C$2.03 | now | +170.4% | open |
| Jun 28, 2024 | OUT | C$1.88 | Jul 31, 2024 | +7.8% | ✕ wrong |
| Mar 28, 2024 | IN | C$1.77 | Jun 28, 2024 | +6.0% | ✓ right |
| Mar 31, 2022 | OUT | C$1.88 | Mar 28, 2024 | −5.8% | ✓ right |
| Jan 31, 2022 | IN | C$2.25 | Mar 31, 2022 | −16.1% | ✕ wrong |
| Dec 31, 2021 | OUT | C$2.14 | Jan 31, 2022 | +5.1% | ✕ wrong |
| Jul 31, 2020 | IN | C$1.54 | Dec 31, 2021 | +39.1% | ✓ right |
| Apr 30, 2020 | OUT | C$1.24 | Jul 31, 2020 | +24.3% | ✕ wrong |
| Mar 31, 2020 | IN | C$1.23 | Apr 30, 2020 | +1.0% | ✓ right |
| Oct 31, 2018 | OUT | C$1.95 | Mar 31, 2020 | −37.2% | ✓ right |
| Dec 30, 2016 | IN | C$1.89 | Oct 31, 2018 | +3.2% | ✓ right |
| Oct 31, 2016 | OUT | C$1.52 | Dec 30, 2016 | +24.7% | ✕ 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 24 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.