Momentum · month-end rule · Financials
12-1 Momentum on TD Bank
What the play says
Latest reading: 12-1 return 55.6%
TD 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 TD over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.3% | +13.6% | +14.0% | +19.6% |
| Total return | +728% | +1,478% | +92% | +144% |
| Worst drawdown | −35.8% | −54.8% | −33.4% | −26.1% |
| Volatility | 15.9% | 20.9% | 14.9% | 17.5% |
| Sharpe ratio | 0.58 | 0.63 | 0.70 | 0.89 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 7 of 24 closed calls (29%). In calls averaged +14.2%; out calls saw TD move +6.4% on average.
| Called | Call | Price | Until | TD moved | Result |
|---|---|---|---|---|---|
| Feb 28, 2025 | IN | C$81.39 | now | +106.2% | open |
| Nov 29, 2024 | OUT | C$73.42 | Feb 28, 2025 | +10.8% | ✕ wrong |
| Aug 30, 2024 | IN | C$73.96 | Nov 29, 2024 | −0.7% | ✕ wrong |
| Jun 28, 2024 | OUT | C$67.95 | Aug 30, 2024 | +8.8% | ✕ wrong |
| Mar 28, 2024 | IN | C$72.93 | Jun 28, 2024 | −6.8% | ✕ wrong |
| Oct 31, 2023 | OUT | C$68.30 | Mar 28, 2024 | +6.8% | ✕ wrong |
| Jul 31, 2023 | IN | C$75.75 | Oct 31, 2023 | −9.8% | ✕ wrong |
| Dec 30, 2022 | OUT | C$73.77 | Jul 31, 2023 | +2.7% | ✕ wrong |
| Nov 30, 2022 | IN | C$75.33 | Dec 30, 2022 | −2.1% | ✕ wrong |
| Oct 31, 2022 | OUT | C$73.36 | Nov 30, 2022 | +2.7% | ✕ wrong |
| Jan 29, 2021 | IN | C$57.03 | Oct 31, 2022 | +28.6% | ✓ right |
| Mar 31, 2020 | OUT | C$44.81 | Jan 29, 2021 | +27.3% | ✕ 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 25 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.