Momentum · month-end rule · Energy & power
12-1 Momentum on Advantage Energy
What the play says
Latest reading: 12-1 return −2.5%
AAV 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 2010
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding AAV over exactly the same dates, after costs.
| Play, since 2010 | Hold, since 2010 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.8% | +3.1% | +4.1% | +9.7% |
| Total return | +80% | +61% | +22% | +58% |
| Worst drawdown | −64.5% | −89.9% | −45.6% | −42.1% |
| Volatility | 31.7% | 46.0% | 34.5% | 39.6% |
| Sharpe ratio | 0.23 | 0.26 | 0.18 | 0.34 |
| Time invested | 57% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 10 of 30 closed calls (33%). In calls averaged +13.9%; out calls saw AAV move +3.1% on average.
| Called | Call | Price | Until | AAV moved | Result |
|---|---|---|---|---|---|
| May 29, 2026 | OUT | C$9.73 | now | +7.0% | open |
| Apr 30, 2026 | IN | C$10.33 | May 29, 2026 | −5.8% | ✕ wrong |
| Mar 31, 2026 | OUT | C$11.23 | Apr 30, 2026 | −8.0% | ✓ right |
| Jun 30, 2025 | IN | C$11.83 | Mar 31, 2026 | −5.1% | ✕ wrong |
| May 30, 2025 | OUT | C$11.18 | Jun 30, 2025 | +5.8% | ✕ wrong |
| Mar 31, 2025 | IN | C$10.84 | May 30, 2025 | +3.1% | ✓ right |
| Feb 28, 2025 | OUT | C$10.09 | Mar 31, 2025 | +7.4% | ✕ wrong |
| Dec 31, 2024 | IN | C$9.86 | Feb 28, 2025 | +2.3% | ✓ right |
| Oct 31, 2024 | OUT | C$8.71 | Dec 31, 2024 | +13.2% | ✕ wrong |
| Sep 30, 2024 | IN | C$9.45 | Oct 31, 2024 | −7.8% | ✕ wrong |
| Aug 30, 2024 | OUT | C$9.72 | Sep 30, 2024 | −2.8% | ✓ right |
| Jan 31, 2024 | IN | C$8.82 | Aug 30, 2024 | +10.2% | ✓ 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 31 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.