Momentum · month-end rule · Industrials & materials
12-1 Momentum on TFI International
What the play says
Latest reading: 12-1 return 53.9%
TFII 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 TFII over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.7% | +14.8% | −4.5% | +5.0% |
| Total return | +647% | +1,889% | −21% | +27% |
| Worst drawdown | −50.5% | −81.0% | −48.0% | −51.5% |
| Volatility | 26.6% | 35.1% | 29.7% | 36.4% |
| Sharpe ratio | 0.42 | 0.52 | −0.13 | 0.21 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 7 of 24 closed calls (29%). In calls averaged +22.0%; out calls saw TFII move +10.1% on average.
| Called | Call | Price | Until | TFII moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | IN | C$161.09 | now | −0.6% | open |
| Feb 28, 2025 | OUT | C$127.06 | Feb 27, 2026 | +26.8% | ✕ wrong |
| Dec 30, 2022 | IN | C$128.32 | Feb 28, 2025 | −1.0% | ✕ wrong |
| Oct 31, 2022 | OUT | C$116.93 | Dec 30, 2022 | +9.7% | ✕ wrong |
| Sep 30, 2022 | IN | C$117.88 | Oct 31, 2022 | −0.8% | ✕ wrong |
| May 31, 2022 | OUT | C$97.32 | Sep 30, 2022 | +21.1% | ✕ wrong |
| Jun 30, 2020 | IN | C$44.18 | May 31, 2022 | +120.3% | ✓ right |
| Apr 30, 2020 | OUT | C$35.19 | Jun 30, 2020 | +25.5% | ✕ wrong |
| Dec 31, 2019 | IN | C$39.55 | Apr 30, 2020 | −11.0% | ✕ wrong |
| Jul 31, 2019 | OUT | C$37.28 | Dec 31, 2019 | +6.1% | ✕ wrong |
| Mar 29, 2018 | IN | C$28.73 | Jul 31, 2019 | +29.7% | ✓ right |
| Nov 30, 2017 | OUT | C$27.81 | Mar 29, 2018 | +3.3% | ✕ 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.