Momentum · month-end rule · Energy & power
12-1 Momentum on Edison International
What the play says
Latest reading: 12-1 return 3.0%
EIX 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 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding EIX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.3% | +6.3% | −2.2% | +4.6% |
| Total return | +102% | +274% | −11% | +25% |
| Worst drawdown | −45.9% | −58.4% | −45.4% | −43.9% |
| Volatility | 20.5% | 26.2% | 24.9% | 28.5% |
| Sharpe ratio | 0.18 | 0.30 | −0.11 | 0.17 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 11 of 26 closed calls (42%). In calls averaged +7.0%; out calls saw EIX move +6.6% on average.
| Called | Call | Price | Until | EIX moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | IN | $59.83 | now | −7.3% | open |
| Feb 28, 2025 | OUT | $49.21 | Jan 30, 2026 | +21.6% | ✕ wrong |
| Apr 30, 2024 | IN | $62.30 | Feb 28, 2025 | −21.0% | ✕ wrong |
| Mar 28, 2024 | OUT | $62.01 | Apr 30, 2024 | +0.5% | ✕ wrong |
| Dec 29, 2023 | IN | $61.96 | Mar 28, 2024 | +0.1% | ✓ right |
| Nov 30, 2023 | OUT | $57.43 | Dec 29, 2023 | +7.9% | ✕ wrong |
| Apr 28, 2023 | IN | $61.72 | Nov 30, 2023 | −7.0% | ✕ wrong |
| Mar 31, 2023 | OUT | $59.19 | Apr 28, 2023 | +4.3% | ✕ wrong |
| Dec 30, 2022 | IN | $52.78 | Mar 31, 2023 | +12.1% | ✓ right |
| Oct 31, 2022 | OUT | $49.25 | Dec 30, 2022 | +7.2% | ✕ wrong |
| Mar 31, 2021 | IN | $44.99 | Oct 31, 2022 | +9.5% | ✓ right |
| Jun 30, 2020 | OUT | $39.83 | Mar 31, 2021 | +12.9% | ✕ 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 27 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.