Momentum · month-end rule · Energy & power
12-1 Momentum on Canadian Utilities
What the play says
Latest reading: 12-1 return 38.8%
CU 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 CU over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.1% | +9.8% | +11.8% | +12.7% |
| Total return | +442% | +659% | +74% | +81% |
| Worst drawdown | −40.2% | −40.2% | −18.9% | −27.7% |
| Volatility | 16.9% | 20.5% | 12.9% | 15.2% |
| Sharpe ratio | 0.44 | 0.47 | 0.63 | 0.61 |
| Time invested | 74% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 9 of 20 closed calls (45%). In calls averaged +15.8%; out calls saw CU move +4.7% on average.
| Called | Call | Price | Until | CU moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$31.06 | now | +60.1% | open |
| Jun 30, 2023 | OUT | C$29.15 | Aug 30, 2024 | +6.6% | ✕ wrong |
| Apr 28, 2023 | IN | C$32.89 | Jun 30, 2023 | −11.4% | ✕ wrong |
| Mar 31, 2023 | OUT | C$31.63 | Apr 28, 2023 | +4.0% | ✕ wrong |
| Apr 30, 2021 | IN | C$26.79 | Mar 31, 2023 | +18.1% | ✓ right |
| Apr 30, 2020 | OUT | C$24.55 | Apr 30, 2021 | +9.1% | ✕ wrong |
| Feb 28, 2019 | IN | C$24.19 | Apr 30, 2020 | +1.5% | ✓ right |
| Mar 29, 2018 | OUT | C$22.64 | Feb 28, 2019 | +6.9% | ✕ wrong |
| May 31, 2016 | IN | C$22.36 | Mar 29, 2018 | +1.2% | ✓ right |
| Jun 30, 2015 | OUT | C$21.43 | May 31, 2016 | +4.3% | ✕ wrong |
| Apr 30, 2014 | IN | C$23.28 | Jun 30, 2015 | −7.9% | ✕ wrong |
| Jan 31, 2014 | OUT | C$21.64 | Apr 30, 2014 | +7.6% | ✕ 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 21 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.