Momentum · month-end rule · Software & devices
12-1 Momentum on Thomson Reuters (Toronto listing)
What the play says
Latest reading: 12-1 return −28.3%
TRI.TO 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 2009
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TRI.TO over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +13.3% | +12.0% | +9.5% | +2.8% |
| Total return | +759% | +606% | +57% | +15% |
| Worst drawdown | −29.5% | −61.8% | −28.0% | −61.8% |
| Volatility | 16.4% | 21.9% | 17.3% | 28.7% |
| Sharpe ratio | 0.76 | 0.56 | 0.39 | 0.11 |
| Time invested | 80% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 10 of 17 closed calls (59%). In calls averaged +31.1%; out calls saw TRI.TO move +2.4% on average.
| Called | Call | Price | Until | TRI.TO moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | OUT | C$206.16 | now | −27.5% | open |
| Dec 30, 2022 | IN | C$142.78 | Oct 31, 2025 | +44.4% | ✓ right |
| Oct 31, 2022 | OUT | C$133.40 | Dec 30, 2022 | +7.0% | ✕ wrong |
| Sep 30, 2022 | IN | C$130.55 | Oct 31, 2022 | +2.2% | ✓ right |
| Aug 31, 2022 | OUT | C$133.15 | Sep 30, 2022 | −2.0% | ✓ right |
| Feb 26, 2021 | IN | C$99.03 | Aug 31, 2022 | +34.4% | ✓ right |
| Jan 29, 2021 | OUT | C$93.28 | Feb 26, 2021 | +6.2% | ✕ wrong |
| Sep 28, 2018 | IN | C$50.72 | Jan 29, 2021 | +83.9% | ✓ right |
| Dec 29, 2017 | OUT | C$45.94 | Sep 28, 2018 | +10.4% | ✕ wrong |
| Apr 29, 2016 | IN | C$41.29 | Dec 29, 2017 | +11.3% | ✓ right |
| Mar 31, 2016 | OUT | C$42.08 | Apr 29, 2016 | −1.9% | ✓ right |
| Sep 28, 2012 | IN | C$20.32 | Mar 31, 2016 | +107.1% | ✓ 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 18 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.