Momentum · month-end rule · Energy & power
12-1 Momentum on Emera
What the play says
Latest reading: 12-1 return 8.5%
EMA 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 EMA over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.8% | +10.7% | +8.1% | +7.6% |
| Total return | +519% | +805% | +47% | +44% |
| Worst drawdown | −29.7% | −29.7% | −22.2% | −26.9% |
| Volatility | 15.5% | 17.0% | 12.7% | 16.1% |
| Sharpe ratio | 0.51 | 0.58 | 0.38 | 0.30 |
| Time invested | 80% | 100% | ||
| Switches per year | 0.7 | 0 |
Every call, graded
Right on 7 of 16 closed calls (44%). In calls averaged +21.7%; out calls saw EMA move +6.3% on average.
| Called | Call | Price | Until | EMA moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$45.67 | now | +42.3% | open |
| Nov 30, 2022 | OUT | C$42.74 | Aug 30, 2024 | +6.9% | ✕ wrong |
| Apr 30, 2021 | IN | C$42.59 | Nov 30, 2022 | +0.3% | ✓ right |
| Jan 29, 2021 | OUT | C$39.82 | Apr 30, 2021 | +7.0% | ✕ wrong |
| Oct 30, 2020 | IN | C$39.58 | Jan 29, 2021 | +0.6% | ✓ right |
| Sep 30, 2020 | OUT | C$40.27 | Oct 30, 2020 | −1.7% | ✓ right |
| Dec 31, 2018 | IN | C$29.74 | Sep 30, 2020 | +35.4% | ✓ right |
| Mar 29, 2018 | OUT | C$26.60 | Dec 31, 2018 | +11.8% | ✕ wrong |
| May 30, 2014 | IN | C$18.92 | Mar 29, 2018 | +40.6% | ✓ right |
| Jul 31, 2013 | OUT | C$17.57 | May 30, 2014 | +7.7% | ✕ wrong |
| Sep 30, 2009 | IN | C$9.58 | Jul 31, 2013 | +83.5% | ✓ right |
| Apr 30, 2009 | OUT | C$8.80 | Sep 30, 2009 | +8.9% | ✕ 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 17 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.