Momentum · month-end rule · Media & telecom
12-1 Momentum on Telesat
What the play says
Latest reading: 12-1 return 65.3%
TSAT 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 2022
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TSAT over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +17.4% | +55.7% | +17.4% | +55.7% |
| Total return | +85% | +448% | +85% | +448% |
| Worst drawdown | −65.1% | −66.9% | −65.1% | −66.9% |
| Volatility | 67.4% | 84.2% | 67.4% | 84.2% |
| Sharpe ratio | 0.49 | 0.87 | 0.49 | 0.87 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 0 of 5 closed calls (0%). In calls averaged −26.7%; out calls saw TSAT move +49.2% on average.
| Called | Call | Price | Until | TSAT moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2024 | IN | C$18.04 | now | +261.3% | open |
| Aug 30, 2024 | OUT | C$14.69 | Oct 31, 2024 | +22.8% | ✕ wrong |
| May 31, 2024 | IN | C$15.39 | Aug 30, 2024 | −4.5% | ✕ wrong |
| Apr 30, 2024 | OUT | C$9.97 | May 31, 2024 | +54.4% | ✕ wrong |
| Sep 29, 2023 | IN | C$19.50 | Apr 30, 2024 | −48.9% | ✕ wrong |
| Nov 30, 2022 | OUT | C$11.44 | Sep 29, 2023 | +70.5% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 6 of 6 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.