Momentum · month-end rule · Energy & power
12-1 Momentum on Birchcliff Energy
What the play says
Latest reading: 12-1 return 15.4%
BIR 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 BIR over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.4% | +4.8% | +6.1% | +3.9% |
| Total return | +67% | +176% | +34% | +21% |
| Worst drawdown | −89.7% | −95.3% | −35.6% | −57.0% |
| Volatility | 35.0% | 50.9% | 32.7% | 39.5% |
| Sharpe ratio | 0.19 | 0.31 | 0.23 | 0.20 |
| Time invested | 53% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 6 of 22 closed calls (27%). In calls averaged +19.5%; out calls saw BIR move +10.2% on average.
| Called | Call | Price | Until | BIR moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | IN | C$6.50 | now | +1.4% | open |
| Jun 30, 2026 | OUT | C$6.16 | Aug 31, 2026 | +5.5% | ✕ wrong |
| Jun 30, 2025 | IN | C$7.30 | Jun 30, 2026 | −15.6% | ✕ wrong |
| May 30, 2025 | OUT | C$6.31 | Jun 30, 2025 | +15.7% | ✕ wrong |
| Jan 31, 2025 | IN | C$5.53 | May 30, 2025 | +14.1% | ✓ right |
| Apr 28, 2023 | OUT | C$6.81 | Jan 31, 2025 | −18.8% | ✓ right |
| Jan 29, 2021 | IN | C$1.70 | Apr 28, 2023 | +301.7% | ✓ right |
| Mar 29, 2019 | OUT | C$2.60 | Jan 29, 2021 | −34.7% | ✓ right |
| Feb 28, 2019 | IN | C$2.61 | Mar 29, 2019 | −0.7% | ✕ wrong |
| Nov 30, 2018 | OUT | C$2.53 | Feb 28, 2019 | +3.1% | ✕ wrong |
| Oct 31, 2018 | IN | C$2.98 | Nov 30, 2018 | −14.9% | ✕ wrong |
| Jun 30, 2017 | OUT | C$4.26 | Oct 31, 2018 | −30.1% | ✓ 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 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.