Momentum · month-end rule · Financials
12-1 Momentum on Trisura Group
What the play says
Latest reading: 12-1 return 8.2%
TSU 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 2018
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TSU over exactly the same dates, after costs.
| Play, since 2018 | Hold, since 2018 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.5% | +26.3% | −13.6% | −0.4% |
| Total return | +213% | +535% | −52% | −2% |
| Worst drawdown | −61.6% | −40.1% | −61.1% | −39.3% |
| Volatility | 31.2% | 34.9% | 26.0% | 32.5% |
| Sharpe ratio | 0.53 | 0.77 | −0.58 | 0.03 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 3 of 13 closed calls (23%). In calls averaged +63.2%; out calls saw TSU move +12.7% on average.
| Called | Call | Price | Until | TSU moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | IN | C$41.66 | now | −0.9% | open |
| Jun 30, 2026 | OUT | C$44.37 | Jul 31, 2026 | −6.1% | ✓ right |
| Dec 31, 2025 | IN | C$42.72 | Jun 30, 2026 | +3.9% | ✓ right |
| Sep 30, 2025 | OUT | C$38.37 | Dec 31, 2025 | +11.3% | ✕ wrong |
| Aug 29, 2025 | IN | C$39.99 | Sep 30, 2025 | −4.1% | ✕ wrong |
| Feb 28, 2025 | OUT | C$34.13 | Aug 29, 2025 | +17.2% | ✕ wrong |
| Feb 29, 2024 | IN | C$43.75 | Feb 28, 2025 | −22.0% | ✕ wrong |
| Aug 31, 2023 | OUT | C$32.05 | Feb 29, 2024 | +36.5% | ✕ wrong |
| Jun 30, 2023 | IN | C$37.57 | Aug 31, 2023 | −14.7% | ✕ wrong |
| May 31, 2023 | OUT | C$34.43 | Jun 30, 2023 | +9.1% | ✕ wrong |
| Jan 31, 2023 | IN | C$41.91 | May 31, 2023 | −17.8% | ✕ wrong |
| May 31, 2022 | OUT | C$34.83 | Jan 31, 2023 | +20.3% | ✕ 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 14 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.