Momentum · month-end rule · Energy & power
12-1 Momentum on TC Energy
What the play says
Latest reading: 12-1 return 18.2%
TRP 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 TRP over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.2% | +10.5% | +15.7% | +14.4% |
| Total return | +570% | +769% | +106% | +96% |
| Worst drawdown | −36.3% | −36.3% | −25.6% | −33.8% |
| Volatility | 17.9% | 21.0% | 16.7% | 19.6% |
| Sharpe ratio | 0.48 | 0.50 | 0.73 | 0.59 |
| Time invested | 76% | 100% | ||
| Switches per year | 0.7 | 0 |
Every call, graded
Right on 8 of 16 closed calls (50%). In calls averaged +17.4%; out calls saw TRP move +4.5% on average.
| Called | Call | Price | Until | TRP moved | Result |
|---|---|---|---|---|---|
| Feb 29, 2024 | IN | C$42.50 | now | +104.9% | open |
| Jan 31, 2023 | OUT | C$42.25 | Feb 29, 2024 | +0.6% | ✕ wrong |
| Nov 30, 2022 | IN | C$43.20 | Jan 31, 2023 | −2.2% | ✕ wrong |
| Oct 31, 2022 | OUT | C$43.37 | Nov 30, 2022 | −0.4% | ✓ right |
| May 31, 2021 | IN | C$40.61 | Oct 31, 2022 | +6.8% | ✓ right |
| Jun 30, 2020 | OUT | C$37.00 | May 31, 2021 | +9.7% | ✕ wrong |
| Feb 28, 2019 | IN | C$34.87 | Jun 30, 2020 | +6.1% | ✓ right |
| Feb 28, 2018 | OUT | C$31.20 | Feb 28, 2019 | +11.8% | ✕ wrong |
| May 31, 2016 | IN | C$28.52 | Feb 28, 2018 | +9.4% | ✓ right |
| Jul 31, 2015 | OUT | C$25.78 | May 31, 2016 | +10.6% | ✕ wrong |
| Nov 30, 2009 | IN | C$13.78 | Jul 31, 2015 | +87.1% | ✓ right |
| Oct 31, 2008 | OUT | C$14.03 | Nov 30, 2009 | −1.8% | ✓ 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 17 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.