Momentum · month-end rule · Financials
12-1 Momentum on TMX Group
What the play says
Latest reading: 12-1 return 3.4%
X 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 X over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.4% | +14.2% | +8.8% | +17.0% |
| Total return | +371% | +1,673% | +52% | +119% |
| Worst drawdown | −54.4% | −59.4% | −28.6% | −22.8% |
| Volatility | 19.3% | 24.9% | 17.5% | 19.5% |
| Sharpe ratio | 0.38 | 0.59 | 0.35 | 0.71 |
| Time invested | 73% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 12 of 38 closed calls (32%). In calls averaged +12.1%; out calls saw X move +7.8% on average.
| Called | Call | Price | Until | X moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | C$52.25 | now | +1.9% | open |
| Jun 30, 2026 | OUT | C$46.21 | Sep 30, 2026 | +13.1% | ✕ wrong |
| May 29, 2026 | IN | C$51.34 | Jun 30, 2026 | −10.0% | ✕ wrong |
| Feb 27, 2026 | OUT | C$45.59 | May 29, 2026 | +12.6% | ✕ wrong |
| Nov 30, 2022 | IN | C$26.19 | Feb 27, 2026 | +74.1% | ✓ right |
| Jul 29, 2022 | OUT | C$24.09 | Nov 30, 2022 | +8.7% | ✕ wrong |
| May 31, 2022 | IN | C$25.23 | Jul 29, 2022 | −4.5% | ✕ wrong |
| Apr 29, 2022 | OUT | C$23.84 | May 31, 2022 | +5.9% | ✕ wrong |
| Jan 31, 2022 | IN | C$23.41 | Apr 29, 2022 | +1.8% | ✓ right |
| Dec 31, 2021 | OUT | C$23.22 | Jan 31, 2022 | +0.8% | ✕ wrong |
| Aug 31, 2021 | IN | C$24.98 | Dec 31, 2021 | −7.1% | ✕ wrong |
| Jul 30, 2021 | OUT | C$24.52 | Aug 31, 2021 | +1.9% | ✕ 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 39 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.