Momentum · month-end rule · Energy & power
12-1 Momentum on Constellation Energy
What the play says
Latest reading: 12-1 return −16.0%
CEG 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 $10,000 since 2023
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CEG over exactly the same dates, after costs.
| Play, since 2023 | Hold, since 2023 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +35.1% | +41.3% | +35.1% | +41.3% |
| Total return | +202% | +257% | +202% | +257% |
| Worst drawdown | −50.7% | −50.7% | −50.7% | −50.7% |
| Volatility | 48.2% | 49.8% | 48.2% | 49.8% |
| Sharpe ratio | 0.77 | 0.85 | 0.77 | 0.85 |
| Time invested | 92% | 100% | ||
| Switches per year | 0.3 | 0 |
Every call, graded
Right on 1 of 1 closed calls (100%). In calls averaged +199.1%; out calls saw CEG move – on average.
| Called | Call | Price | Until | CEG moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | $247.99 | now | +19.3% | open |
| Jan 31, 2023 | IN | $82.92 | Jun 30, 2026 | +199.1% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 2 of 2 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.