Momentum · month-end rule · Energy & power
12-1 Momentum on Enerflex
What the play says
Latest reading: 12-1 return 89.5%
EFX 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 2012
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding EFX over exactly the same dates, after costs.
| Play, since 2012 | Hold, since 2012 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.9% | +11.7% | +20.0% | +33.2% |
| Total return | +195% | +382% | +148% | +316% |
| Worst drawdown | −69.2% | −76.3% | −60.4% | −53.3% |
| Volatility | 28.8% | 41.7% | 39.2% | 46.5% |
| Sharpe ratio | 0.35 | 0.44 | 0.57 | 0.77 |
| Time invested | 60% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 6 of 21 closed calls (29%). In calls averaged −4.4%; out calls saw EFX move +6.8% on average.
| Called | Call | Price | Until | EFX moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2024 | IN | C$7.90 | now | +394.8% | open |
| Jun 28, 2024 | OUT | C$7.21 | Sep 30, 2024 | +9.6% | ✕ wrong |
| May 31, 2024 | IN | C$6.92 | Jun 28, 2024 | +4.2% | ✓ right |
| Nov 30, 2023 | OUT | C$5.65 | May 31, 2024 | +22.5% | ✕ wrong |
| May 31, 2023 | IN | C$7.32 | Nov 30, 2023 | −22.8% | ✕ wrong |
| Apr 28, 2023 | OUT | C$7.90 | May 31, 2023 | −7.4% | ✓ right |
| Dec 30, 2022 | IN | C$8.18 | Apr 28, 2023 | −3.5% | ✕ wrong |
| Jun 30, 2022 | OUT | C$5.78 | Dec 30, 2022 | +41.6% | ✕ wrong |
| May 31, 2022 | IN | C$7.47 | Jun 30, 2022 | −22.7% | ✕ wrong |
| Feb 28, 2022 | OUT | C$7.41 | May 31, 2022 | +0.9% | ✕ wrong |
| Mar 31, 2021 | IN | C$7.61 | Feb 28, 2022 | −2.7% | ✕ wrong |
| Sep 30, 2019 | OUT | C$10.45 | Mar 31, 2021 | −27.2% | ✓ 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 22 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.