Momentum · month-end rule · Energy & power
12-1 Momentum on Exelon
What the play says
Latest reading: 12-1 return −0.2%
EXC 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 EXC over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.5% | +5.1% | +8.2% | +7.7% |
| Total return | +162% | +196% | +48% | +44% |
| Worst drawdown | −53.6% | −62.3% | −28.2% | −29.1% |
| Volatility | 19.7% | 25.0% | 18.2% | 20.8% |
| Sharpe ratio | 0.23 | 0.25 | 0.32 | 0.28 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 11 of 21 closed calls (52%). In calls averaged +10.6%; out calls saw EXC move +2.4% on average.
| Called | Call | Price | Until | EXC moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | $40.40 | now | +4.8% | open |
| Sep 30, 2024 | IN | $37.69 | Sep 30, 2026 | +7.2% | ✓ right |
| Nov 30, 2023 | OUT | $34.71 | Sep 30, 2024 | +8.6% | ✕ wrong |
| Sep 29, 2023 | IN | $33.74 | Nov 30, 2023 | +2.9% | ✓ right |
| Mar 31, 2023 | OUT | $36.76 | Sep 29, 2023 | −8.2% | ✓ right |
| Mar 31, 2021 | IN | $25.68 | Mar 31, 2023 | +43.2% | ✓ right |
| Mar 31, 2020 | OUT | $20.77 | Mar 31, 2021 | +23.6% | ✕ wrong |
| Feb 28, 2020 | IN | $24.33 | Mar 31, 2020 | −14.6% | ✕ wrong |
| Jan 31, 2020 | OUT | $26.65 | Feb 28, 2020 | −8.7% | ✓ right |
| Apr 29, 2016 | IN | $17.29 | Jan 31, 2020 | +54.2% | ✓ right |
| Aug 31, 2015 | OUT | $14.85 | Apr 29, 2016 | +16.4% | ✕ wrong |
| Jul 31, 2015 | IN | $15.34 | Aug 31, 2015 | −3.2% | ✕ 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 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.