Momentum · month-end rule · Energy & power
12-1 Momentum on TerraVest Industries
What the play says
Latest reading: 12-1 return −15.3%
TVK 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 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TVK over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +33.6% | +33.1% | +41.7% | +38.9% |
| Total return | +2,756% | +2,641% | +466% | +413% |
| Worst drawdown | −41.6% | −41.6% | −32.0% | −37.8% |
| Volatility | 32.6% | 35.3% | 35.4% | 40.9% |
| Sharpe ratio | 0.98 | 0.93 | 1.05 | 0.92 |
| Time invested | 93% | 100% | ||
| Switches per year | 0.4 | 0 |
Every call, graded
Right on 3 of 5 closed calls (60%). In calls averaged +274.7%; out calls saw TVK move +10.6% on average.
| Called | Call | Price | Until | TVK moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2026 | OUT | C$138.07 | now | −19.4% | open |
| Jan 31, 2023 | IN | C$26.32 | Apr 30, 2026 | +424.6% | ✓ right |
| Oct 31, 2022 | OUT | C$22.82 | Jan 31, 2023 | +15.3% | ✕ wrong |
| May 29, 2015 | IN | C$4.64 | Oct 31, 2022 | +391.4% | ✓ right |
| Apr 30, 2015 | OUT | C$4.39 | May 29, 2015 | +5.8% | ✕ wrong |
| Feb 27, 2015 | IN | C$4.06 | Apr 30, 2015 | +8.0% | ✓ right |
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.