Momentum · month-end rule · Metals & mining
12-1 Momentum on Teck Resources
What the play says
Latest reading: 12-1 return 55.6%
TECK.B 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 TECK.B over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.1% | +9.4% | +23.2% | +24.1% |
| Total return | +1,090% | +600% | +183% | +192% |
| Worst drawdown | −55.0% | −93.4% | −41.2% | −42.5% |
| Volatility | 32.9% | 53.6% | 38.3% | 43.0% |
| Sharpe ratio | 0.46 | 0.40 | 0.64 | 0.63 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 12 of 22 closed calls (55%). In calls averaged +34.5%; out calls saw TECK.B move −1.8% on average.
| Called | Call | Price | Until | TECK.B moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$65.41 | now | +45.9% | open |
| Mar 31, 2025 | OUT | C$51.84 | Dec 31, 2025 | +26.2% | ✕ wrong |
| May 31, 2024 | IN | C$68.99 | Mar 31, 2025 | −24.9% | ✕ wrong |
| Apr 30, 2024 | OUT | C$65.88 | May 31, 2024 | +4.7% | ✕ wrong |
| Feb 29, 2024 | IN | C$50.65 | Apr 30, 2024 | +30.1% | ✓ right |
| Jan 31, 2024 | OUT | C$52.26 | Feb 29, 2024 | −3.1% | ✓ right |
| May 31, 2023 | IN | C$51.12 | Jan 31, 2024 | +2.2% | ✓ right |
| Apr 28, 2023 | OUT | C$60.88 | May 31, 2023 | −16.0% | ✓ right |
| Jan 29, 2021 | IN | C$21.68 | Apr 28, 2023 | +180.9% | ✓ right |
| Nov 30, 2018 | OUT | C$24.37 | Jan 29, 2021 | −11.1% | ✓ right |
| Dec 29, 2017 | IN | C$29.64 | Nov 30, 2018 | −17.8% | ✕ wrong |
| Oct 31, 2017 | OUT | C$23.42 | Dec 29, 2017 | +26.6% | ✕ 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 23 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.