Momentum · month-end rule · Energy & power
12-1 Momentum on Cameco
What the play says
Latest reading: 12-1 return 17.4%
CCO 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 CCO over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.0% | +9.1% | +18.5% | +30.4% |
| Total return | +336% | +562% | +132% | +275% |
| Worst drawdown | −74.0% | −83.6% | −39.5% | −39.5% |
| Volatility | 33.1% | 42.5% | 46.6% | 47.5% |
| Sharpe ratio | 0.32 | 0.38 | 0.51 | 0.72 |
| Time invested | 62% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 16 of 32 closed calls (50%). In calls averaged +22.1%; out calls saw CCO move +5.2% on average.
| Called | Call | Price | Until | CCO moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | IN | C$100.93 | now | +14.9% | open |
| Apr 30, 2025 | OUT | C$62.11 | Jun 30, 2025 | +62.5% | ✕ wrong |
| May 29, 2020 | IN | C$14.69 | Apr 30, 2025 | +322.9% | ✓ right |
| Aug 30, 2019 | OUT | C$11.39 | May 29, 2020 | +28.9% | ✕ wrong |
| Jul 31, 2019 | IN | C$11.82 | Aug 30, 2019 | −3.6% | ✕ wrong |
| Jun 28, 2019 | OUT | C$13.70 | Jul 31, 2019 | −13.7% | ✓ right |
| May 31, 2018 | IN | C$13.02 | Jun 28, 2019 | +5.2% | ✓ right |
| Nov 30, 2017 | OUT | C$11.65 | May 31, 2018 | +11.8% | ✕ wrong |
| Aug 31, 2017 | IN | C$11.95 | Nov 30, 2017 | −2.6% | ✕ wrong |
| Mar 31, 2017 | OUT | C$13.94 | Aug 31, 2017 | −14.3% | ✓ right |
| Feb 28, 2017 | IN | C$13.83 | Mar 31, 2017 | +0.8% | ✓ right |
| Nov 28, 2014 | OUT | C$18.89 | Feb 28, 2017 | −26.8% | ✓ 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 33 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.