Momentum · month-end rule · Energy & power
12-1 Momentum on AltaGas
What the play says
Latest reading: 12-1 return 27.9%
ALA 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 ALA over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.6% | +7.8% | +18.7% | +21.2% |
| Total return | +604% | +399% | +134% | +161% |
| Worst drawdown | −70.6% | −75.0% | −26.6% | −27.8% |
| Volatility | 20.4% | 26.3% | 17.9% | 19.4% |
| Sharpe ratio | 0.47 | 0.35 | 0.83 | 0.89 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 10 of 22 closed calls (45%). In calls averaged +16.5%; out calls saw ALA move −1.1% on average.
| Called | Call | Price | Until | ALA moved | Result |
|---|---|---|---|---|---|
| Sep 29, 2023 | IN | C$23.60 | now | +138.7% | open |
| Dec 30, 2022 | OUT | C$20.47 | Sep 29, 2023 | +15.3% | ✕ wrong |
| Feb 26, 2021 | IN | C$15.70 | Dec 30, 2022 | +30.3% | ✓ right |
| Apr 30, 2020 | OUT | C$12.94 | Feb 26, 2021 | +21.4% | ✕ wrong |
| Oct 31, 2019 | IN | C$14.46 | Apr 30, 2020 | −10.5% | ✕ wrong |
| Sep 28, 2018 | OUT | C$14.45 | Oct 31, 2019 | +0.1% | ✕ wrong |
| Jul 31, 2018 | IN | C$18.33 | Sep 28, 2018 | −21.2% | ✕ wrong |
| Jul 31, 2017 | OUT | C$18.56 | Jul 31, 2018 | −1.2% | ✓ right |
| Apr 28, 2017 | IN | C$19.22 | Jul 31, 2017 | −3.5% | ✕ wrong |
| Mar 31, 2017 | OUT | C$19.25 | Apr 28, 2017 | −0.1% | ✓ right |
| Sep 30, 2016 | IN | C$20.41 | Mar 31, 2017 | −5.7% | ✕ wrong |
| Apr 30, 2015 | OUT | C$22.79 | Sep 30, 2016 | −10.4% | ✓ 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 23 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.