Momentum · month-end rule · Energy & power
12-1 Momentum on Enbridge
What the play says
Latest reading: 12-1 return 5.5%
ENB 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 ENB over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.1% | +11.9% | +12.2% | +12.2% |
| Total return | +879% | +1,037% | +77% | +77% |
| Worst drawdown | −39.5% | −39.5% | −17.3% | −21.4% |
| Volatility | 18.6% | 21.6% | 14.3% | 16.1% |
| Sharpe ratio | 0.57 | 0.55 | 0.61 | 0.56 |
| Time invested | 77% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 16 of 28 closed calls (57%). In calls averaged +20.8%; out calls saw ENB move +2.2% on average.
| Called | Call | Price | Until | ENB moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | C$43.75 | now | +54.4% | open |
| Mar 31, 2023 | OUT | C$41.27 | May 31, 2024 | +6.0% | ✕ wrong |
| Mar 31, 2021 | IN | C$32.24 | Mar 31, 2023 | +28.0% | ✓ right |
| Sep 30, 2020 | OUT | C$26.35 | Mar 31, 2021 | +22.4% | ✕ wrong |
| Aug 31, 2020 | IN | C$28.27 | Sep 30, 2020 | −6.8% | ✕ wrong |
| Jul 31, 2020 | OUT | C$28.52 | Aug 31, 2020 | −0.9% | ✓ right |
| Jun 30, 2020 | IN | C$27.46 | Jul 31, 2020 | +3.9% | ✓ right |
| Apr 30, 2020 | OUT | C$27.85 | Jun 30, 2020 | −1.4% | ✓ right |
| Jan 31, 2019 | IN | C$29.07 | Apr 30, 2020 | −4.2% | ✕ wrong |
| Sep 29, 2017 | OUT | C$29.30 | Jan 31, 2019 | −0.8% | ✓ right |
| Jul 31, 2017 | IN | C$28.70 | Sep 29, 2017 | +2.1% | ✓ right |
| Jun 30, 2017 | OUT | C$28.69 | Jul 31, 2017 | +0.0% | ✕ 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 29 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.