Momentum · month-end rule · Energy & power
12-1 Momentum on APA Corp
What the play says
Latest reading: 12-1 return 83.9%
APA 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 $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding APA over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.0% | +1.0% | +26.2% | +17.9% |
| Total return | +430% | +25% | +218% | +127% |
| Worst drawdown | −64.8% | −96.7% | −40.1% | −70.5% |
| Volatility | 29.7% | 48.8% | 36.8% | 47.7% |
| Sharpe ratio | 0.35 | 0.24 | 0.71 | 0.51 |
| Time invested | 50% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 16 of 28 closed calls (57%). In calls averaged +8.5%; out calls saw APA move −6.9% on average.
| Called | Call | Price | Until | APA moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | $22.13 | now | +116.9% | open |
| Jun 28, 2024 | OUT | $26.84 | Oct 31, 2025 | −17.5% | ✓ right |
| May 31, 2024 | IN | $27.83 | Jun 28, 2024 | −3.6% | ✕ wrong |
| Oct 31, 2023 | OUT | $35.64 | May 31, 2024 | −21.9% | ✓ right |
| Aug 31, 2023 | IN | $39.11 | Oct 31, 2023 | −8.9% | ✕ wrong |
| Mar 31, 2023 | OUT | $31.75 | Aug 31, 2023 | +23.2% | ✕ wrong |
| Mar 31, 2021 | IN | $15.34 | Mar 31, 2023 | +107.0% | ✓ right |
| Nov 30, 2018 | OUT | $28.55 | Mar 31, 2021 | −46.3% | ✓ right |
| Oct 31, 2018 | IN | $30.74 | Nov 30, 2018 | −7.1% | ✕ wrong |
| Sep 28, 2018 | OUT | $38.51 | Oct 31, 2018 | −20.2% | ✓ right |
| Aug 31, 2018 | IN | $35.41 | Sep 28, 2018 | +8.8% | ✓ right |
| Sep 29, 2017 | OUT | $36.16 | Aug 31, 2018 | −2.1% | ✓ 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 29 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.