Momentum · month-end rule · Energy & power
12-1 Momentum on Brookfield Renewable Partners
What the play says
Latest reading: 12-1 return 26.7%
BEP.UN 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 BEP.UN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.6% | +12.8% | +1.4% | +0.1% |
| Total return | +783% | +1,241% | +7% | +1% |
| Worst drawdown | −41.2% | −51.8% | −29.0% | −44.0% |
| Volatility | 21.8% | 25.3% | 20.3% | 29.8% |
| Sharpe ratio | 0.49 | 0.53 | −0.02 | 0.03 |
| Time invested | 76% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 27 of 44 closed calls (61%). In calls averaged +13.8%; out calls saw BEP.UN move +2.8% on average.
| Called | Call | Price | Until | BEP.UN moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | C$41.29 | now | −3.9% | open |
| Sep 30, 2025 | OUT | C$34.64 | Oct 31, 2025 | +19.2% | ✕ wrong |
| Jun 30, 2025 | IN | C$33.18 | Sep 30, 2025 | +4.4% | ✓ right |
| May 30, 2025 | OUT | C$31.17 | Jun 30, 2025 | +6.5% | ✕ wrong |
| Feb 28, 2025 | IN | C$30.72 | May 30, 2025 | +1.4% | ✓ right |
| Jan 31, 2025 | OUT | C$29.66 | Feb 28, 2025 | +3.6% | ✕ wrong |
| Aug 30, 2024 | IN | C$30.57 | Jan 31, 2025 | −3.0% | ✕ wrong |
| Jul 31, 2024 | OUT | C$30.80 | Aug 30, 2024 | −0.7% | ✓ right |
| Jun 28, 2024 | IN | C$30.99 | Jul 31, 2024 | −0.6% | ✕ wrong |
| Mar 28, 2024 | OUT | C$28.57 | Jun 28, 2024 | +8.5% | ✕ wrong |
| Feb 29, 2024 | IN | C$27.61 | Mar 28, 2024 | +3.5% | ✓ right |
| Jan 31, 2024 | OUT | C$31.25 | Feb 29, 2024 | −11.7% | ✓ 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 45 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.