Momentum · month-end rule · Energy & power
12-1 Momentum on Fortis
What the play says
Latest reading: 12-1 return 12.2%
FTS 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 FTS over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.5% | +10.7% | +9.0% | +10.5% |
| Total return | +477% | +802% | +53% | +65% |
| Worst drawdown | −28.3% | −28.3% | −24.0% | −24.0% |
| Volatility | 16.0% | 18.7% | 12.3% | 14.6% |
| Sharpe ratio | 0.48 | 0.54 | 0.45 | 0.50 |
| Time invested | 79% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 13 of 24 closed calls (54%). In calls averaged +13.6%; out calls saw FTS move +4.6% on average.
| Called | Call | Price | Until | FTS moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$55.21 | now | +39.0% | open |
| Mar 28, 2024 | OUT | C$48.82 | Aug 30, 2024 | +13.1% | ✕ wrong |
| Sep 29, 2023 | IN | C$46.05 | Mar 28, 2024 | +6.0% | ✓ right |
| Oct 31, 2022 | OUT | C$45.55 | Sep 29, 2023 | +1.1% | ✕ wrong |
| Apr 30, 2021 | IN | C$44.53 | Oct 31, 2022 | +2.3% | ✓ right |
| Jan 29, 2021 | OUT | C$41.59 | Apr 30, 2021 | +7.1% | ✕ wrong |
| Oct 30, 2020 | IN | C$41.93 | Jan 29, 2021 | −0.8% | ✕ wrong |
| Sep 30, 2020 | OUT | C$43.37 | Oct 30, 2020 | −3.3% | ✓ right |
| Dec 31, 2018 | IN | C$34.07 | Sep 30, 2020 | +27.3% | ✓ right |
| May 31, 2018 | OUT | C$30.41 | Dec 31, 2018 | +12.0% | ✕ wrong |
| Apr 30, 2018 | IN | C$31.32 | May 31, 2018 | −2.9% | ✕ wrong |
| Mar 29, 2018 | OUT | C$31.60 | Apr 30, 2018 | −0.9% | ✓ 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 25 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.