Momentum · month-end rule · Energy & power
12-1 Momentum on Energy Fuels
What the play says
Latest reading: 12-1 return −4.4%
EFR 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 EFR over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −4.0% | −0.9% | −3.4% | +4.2% |
| Total return | −58% | −18% | −16% | +23% |
| Worst drawdown | −95.8% | −99.6% | −59.9% | −68.4% |
| Volatility | 56.1% | 89.3% | 58.1% | 71.1% |
| Sharpe ratio | 0.17 | 0.40 | 0.16 | 0.35 |
| Time invested | 43% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 18 of 40 closed calls (45%). In calls averaged +5.5%; out calls saw EFR move +39.9% on average.
| Called | Call | Price | Until | EFR moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$15.73 | now | −24.5% | open |
| Aug 29, 2025 | IN | C$15.87 | Sep 30, 2026 | −0.9% | ✕ wrong |
| Jan 31, 2025 | OUT | C$7.67 | Aug 29, 2025 | +106.9% | ✕ wrong |
| Dec 31, 2024 | IN | C$7.39 | Jan 31, 2025 | +3.8% | ✓ right |
| Jul 31, 2024 | OUT | C$7.91 | Dec 31, 2024 | −6.6% | ✓ right |
| Jun 28, 2024 | IN | C$8.29 | Jul 31, 2024 | −4.6% | ✕ wrong |
| May 31, 2024 | OUT | C$9.46 | Jun 28, 2024 | −12.4% | ✓ right |
| Feb 29, 2024 | IN | C$8.62 | May 31, 2024 | +9.7% | ✓ right |
| Jan 31, 2024 | OUT | C$10.20 | Feb 29, 2024 | −15.5% | ✓ right |
| Sep 29, 2023 | IN | C$11.16 | Jan 31, 2024 | −8.6% | ✕ wrong |
| Jul 31, 2023 | OUT | C$8.45 | Sep 29, 2023 | +32.1% | ✕ wrong |
| Jun 30, 2023 | IN | C$8.23 | Jul 31, 2023 | +2.7% | ✓ 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 41 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.