Momentum · month-end rule · Energy & power
12-1 Momentum on Capital Power
What the play says
Latest reading: 12-1 return 0.8%
CPX 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 CPX over exactly the same dates, after costs.
| Play, since 2010 | Hold, since 2010 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.7% | +13.0% | +11.9% | +13.4% |
| Total return | +345% | +611% | +75% | +87% |
| Worst drawdown | −47.4% | −47.4% | −33.8% | −33.8% |
| Volatility | 20.8% | 23.9% | 23.1% | 25.5% |
| Sharpe ratio | 0.48 | 0.57 | 0.44 | 0.47 |
| Time invested | 74% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 12 of 22 closed calls (55%). In calls averaged +14.2%; out calls saw CPX move +5.1% on average.
| Called | Call | Price | Until | CPX moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | IN | C$57.90 | now | +8.1% | open |
| Dec 31, 2025 | OUT | C$56.74 | Jan 30, 2026 | +2.0% | ✕ wrong |
| Jul 31, 2024 | IN | C$38.53 | Dec 31, 2025 | +47.3% | ✓ right |
| Jul 31, 2023 | OUT | C$34.84 | Jul 31, 2024 | +10.6% | ✕ wrong |
| Dec 31, 2020 | IN | C$26.01 | Jul 31, 2023 | +34.0% | ✓ right |
| Aug 31, 2020 | OUT | C$20.62 | Dec 31, 2020 | +26.1% | ✕ wrong |
| Jul 31, 2020 | IN | C$20.41 | Aug 31, 2020 | +1.0% | ✓ right |
| Apr 30, 2020 | OUT | C$19.06 | Jul 31, 2020 | +7.1% | ✕ wrong |
| Apr 30, 2018 | IN | C$15.20 | Apr 30, 2020 | +25.4% | ✓ right |
| Feb 28, 2018 | OUT | C$14.52 | Apr 30, 2018 | +4.7% | ✕ wrong |
| Aug 31, 2016 | IN | C$11.61 | Feb 28, 2018 | +25.1% | ✓ right |
| Jun 30, 2015 | OUT | C$11.03 | Aug 31, 2016 | +5.3% | ✕ wrong |
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.