Momentum · month-end rule · Energy & power
12-1 Momentum on ATCO
What the play says
Latest reading: 12-1 return 51.4%
ACO.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 ACO.X over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.9% | +11.3% | +20.7% | +18.9% |
| Total return | +836% | +914% | +155% | +136% |
| Worst drawdown | −48.3% | −48.3% | −16.1% | −26.8% |
| Volatility | 18.7% | 23.1% | 15.2% | 17.0% |
| Sharpe ratio | 0.55 | 0.50 | 1.07 | 0.88 |
| Time invested | 71% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 9 of 18 closed calls (50%). In calls averaged +21.9%; out calls saw ACO.X move +2.1% on average.
| Called | Call | Price | Until | ACO.X moved | Result |
|---|---|---|---|---|---|
| Jun 28, 2024 | IN | C$35.87 | now | +121.1% | open |
| Jun 30, 2023 | OUT | C$34.49 | Jun 28, 2024 | +4.0% | ✕ wrong |
| May 31, 2023 | IN | C$36.49 | Jun 30, 2023 | −5.5% | ✕ wrong |
| Apr 28, 2023 | OUT | C$38.72 | May 31, 2023 | −5.7% | ✓ right |
| Apr 30, 2021 | IN | C$33.51 | Apr 28, 2023 | +15.5% | ✓ right |
| Apr 30, 2020 | OUT | C$29.68 | Apr 30, 2021 | +12.9% | ✕ wrong |
| Feb 28, 2019 | IN | C$32.22 | Apr 30, 2020 | −7.9% | ✕ wrong |
| Mar 29, 2018 | OUT | C$29.25 | Feb 28, 2019 | +10.2% | ✕ wrong |
| Sep 29, 2017 | IN | C$31.85 | Mar 29, 2018 | −8.2% | ✕ wrong |
| Aug 31, 2017 | OUT | C$31.77 | Sep 29, 2017 | +0.3% | ✕ wrong |
| Jun 30, 2016 | IN | C$30.49 | Aug 31, 2017 | +4.2% | ✓ right |
| Jan 30, 2015 | OUT | C$31.83 | Jun 30, 2016 | −4.2% | ✓ 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 19 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.