Momentum · month-end rule · Energy & power
12-1 Momentum on Brookfield Infrastructure Partners
What the play says
Latest reading: 12-1 return 18.4%
BIP.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 2010
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding BIP.UN over exactly the same dates, after costs.
| Play, since 2010 | Hold, since 2010 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +17.1% | +17.0% | +5.8% | +5.5% |
| Total return | +1,137% | +1,124% | +33% | +31% |
| Worst drawdown | −47.3% | −47.3% | −25.8% | −45.2% |
| Volatility | 21.3% | 24.0% | 17.8% | 25.1% |
| Sharpe ratio | 0.78 | 0.71 | 0.19 | 0.19 |
| Time invested | 82% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 11 of 18 closed calls (61%). In calls averaged +40.8%; out calls saw BIP.UN move +1.1% on average.
| Called | Call | Price | Until | BIP.UN moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$46.52 | now | +11.4% | open |
| Sep 30, 2025 | OUT | C$44.33 | Dec 31, 2025 | +4.9% | ✕ wrong |
| Aug 30, 2024 | IN | C$40.50 | Sep 30, 2025 | +9.5% | ✓ right |
| Jul 31, 2023 | OUT | C$41.62 | Aug 30, 2024 | −2.7% | ✓ right |
| Jun 30, 2023 | IN | C$42.93 | Jul 31, 2023 | −3.0% | ✕ wrong |
| Jan 31, 2023 | OUT | C$40.91 | Jun 30, 2023 | +4.9% | ✕ wrong |
| Feb 26, 2021 | IN | C$35.96 | Jan 31, 2023 | +13.8% | ✓ right |
| Jan 29, 2021 | OUT | C$36.66 | Feb 26, 2021 | −1.9% | ✓ right |
| Dec 31, 2020 | IN | C$34.58 | Jan 29, 2021 | +6.0% | ✓ right |
| Nov 30, 2020 | OUT | C$35.43 | Dec 31, 2020 | −2.4% | ✓ right |
| Oct 30, 2020 | IN | C$31.06 | Nov 30, 2020 | +14.1% | ✓ right |
| Sep 30, 2020 | OUT | C$34.60 | Oct 30, 2020 | −10.2% | ✓ 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.