Momentum · month-end rule · Industrials & materials
12-1 Momentum on Toromont Industries
What the play says
Latest reading: 12-1 return 30.7%
TIH 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 TIH over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.3% | +15.5% | +8.7% | +15.9% |
| Total return | +736% | +2,157% | +52% | +108% |
| Worst drawdown | −34.9% | −39.2% | −24.5% | −22.2% |
| Volatility | 22.4% | 25.2% | 21.3% | 24.1% |
| Sharpe ratio | 0.47 | 0.63 | 0.32 | 0.57 |
| Time invested | 84% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 11 of 26 closed calls (42%). In calls averaged +16.6%; out calls saw TIH move +8.8% on average.
| Called | Call | Price | Until | TIH moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$141.47 | now | +50.5% | open |
| Jan 31, 2025 | OUT | C$113.17 | Aug 29, 2025 | +25.0% | ✕ wrong |
| Jun 30, 2023 | IN | C$103.78 | Jan 31, 2025 | +9.1% | ✓ right |
| Mar 31, 2023 | OUT | C$105.36 | Jun 30, 2023 | −1.5% | ✓ right |
| Feb 28, 2023 | IN | C$106.48 | Mar 31, 2023 | −1.1% | ✕ wrong |
| Sep 30, 2022 | OUT | C$90.63 | Feb 28, 2023 | +17.5% | ✕ wrong |
| May 29, 2020 | IN | C$60.40 | Sep 30, 2022 | +50.1% | ✓ right |
| Mar 31, 2020 | OUT | C$56.06 | May 29, 2020 | +7.7% | ✕ wrong |
| Oct 31, 2019 | IN | C$61.31 | Mar 31, 2020 | −8.6% | ✕ wrong |
| Sep 30, 2019 | OUT | C$57.70 | Oct 31, 2019 | +6.3% | ✕ wrong |
| Aug 30, 2019 | IN | C$57.24 | Sep 30, 2019 | +0.8% | ✓ right |
| Jul 31, 2019 | OUT | C$59.42 | Aug 30, 2019 | −3.7% | ✓ right |
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 27 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.