Momentum · month-end rule · Energy & power
12-1 Momentum on Algonquin Power & Utilities
What the play says
Latest reading: 12-1 return 8.4%
AQN 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 AQN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.8% | +4.5% | +1.4% | −12.3% |
| Total return | +822% | +158% | +7% | −48% |
| Worst drawdown | −37.4% | −78.6% | −24.4% | −63.7% |
| Volatility | 19.0% | 29.0% | 13.2% | 29.0% |
| Sharpe ratio | 0.54 | 0.24 | −0.12 | −0.44 |
| Time invested | 69% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 17 of 28 closed calls (61%). In calls averaged +20.5%; out calls saw AQN move −5.0% on average.
| Called | Call | Price | Until | AQN moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$7.52 | now | −2.4% | open |
| Nov 29, 2024 | OUT | C$6.31 | Aug 29, 2025 | +19.0% | ✕ wrong |
| Oct 31, 2024 | IN | C$6.11 | Nov 29, 2024 | +3.3% | ✓ right |
| Oct 31, 2022 | OUT | C$11.95 | Oct 31, 2024 | −48.8% | ✓ right |
| Sep 30, 2022 | IN | C$11.96 | Oct 31, 2022 | −0.1% | ✕ wrong |
| Jul 29, 2022 | OUT | C$13.98 | Sep 30, 2022 | −14.4% | ✓ right |
| Apr 29, 2022 | IN | C$14.33 | Jul 29, 2022 | −2.4% | ✕ wrong |
| Oct 29, 2021 | OUT | C$13.43 | Apr 29, 2022 | +6.7% | ✕ wrong |
| Dec 31, 2018 | IN | C$9.18 | Oct 29, 2021 | +46.4% | ✓ right |
| Nov 30, 2018 | OUT | C$9.30 | Dec 31, 2018 | −1.4% | ✓ right |
| Sep 28, 2018 | IN | C$8.81 | Nov 30, 2018 | +5.5% | ✓ right |
| May 31, 2018 | OUT | C$8.12 | Sep 28, 2018 | +8.5% | ✕ 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 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.