Momentum · month-end rule · Energy & power
12-1 Momentum on Freehold Royalties
What the play says
Latest reading: 12-1 return 35.7%
FRU 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 FRU over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.2% | +8.5% | +12.9% | +16.6% |
| Total return | +349% | +485% | +83% | +115% |
| Worst drawdown | −58.6% | −86.9% | −28.4% | −28.4% |
| Volatility | 24.0% | 34.2% | 25.0% | 27.5% |
| Sharpe ratio | 0.34 | 0.36 | 0.46 | 0.56 |
| Time invested | 62% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 10 of 22 closed calls (45%). In calls averaged +14.8%; out calls saw FRU move +7.0% on average.
| Called | Call | Price | Until | FRU moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$12.45 | now | +37.8% | open |
| Jan 31, 2025 | OUT | C$11.07 | Aug 29, 2025 | +12.5% | ✕ wrong |
| Mar 28, 2024 | IN | C$12.10 | Jan 31, 2025 | −8.5% | ✕ wrong |
| Oct 31, 2023 | OUT | C$11.47 | Mar 28, 2024 | +5.5% | ✕ wrong |
| Aug 31, 2023 | IN | C$11.41 | Oct 31, 2023 | +0.5% | ✓ right |
| Jul 31, 2023 | OUT | C$10.98 | Aug 31, 2023 | +3.9% | ✕ wrong |
| Mar 31, 2021 | IN | C$4.92 | Jul 31, 2023 | +123.4% | ✓ right |
| Jun 29, 2018 | OUT | C$6.93 | Mar 31, 2021 | −29.0% | ✓ right |
| May 31, 2018 | IN | C$6.80 | Jun 29, 2018 | +2.0% | ✓ right |
| Mar 29, 2018 | OUT | C$6.82 | May 31, 2018 | −0.3% | ✓ right |
| Aug 31, 2016 | IN | C$5.83 | Mar 29, 2018 | +16.8% | ✓ right |
| Nov 28, 2014 | OUT | C$8.98 | Aug 31, 2016 | −35.0% | ✓ 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 23 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.