Momentum · month-end rule · Energy & power
12-1 Momentum on Gibson Energy
What the play says
Latest reading: 12-1 return 26.4%
GEI 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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding GEI over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.6% | +8.8% | +14.1% | +15.6% |
| Total return | +171% | +218% | +93% | +106% |
| Worst drawdown | −54.9% | −63.6% | −22.4% | −24.7% |
| Volatility | 24.6% | 29.6% | 19.6% | 21.6% |
| Sharpe ratio | 0.35 | 0.37 | 0.58 | 0.60 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 9 of 18 closed calls (50%). In calls averaged +5.5%; out calls saw GEI move +3.2% on average.
| Called | Call | Price | Until | GEI moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2025 | IN | C$19.71 | now | +66.7% | open |
| Mar 31, 2025 | OUT | C$20.28 | Apr 30, 2025 | −2.8% | ✓ right |
| Feb 29, 2024 | IN | C$18.66 | Mar 31, 2025 | +8.7% | ✓ right |
| Mar 31, 2023 | OUT | C$16.94 | Feb 29, 2024 | +10.1% | ✕ wrong |
| Nov 30, 2022 | IN | C$18.51 | Mar 31, 2023 | −8.5% | ✕ wrong |
| Oct 31, 2022 | OUT | C$17.63 | Nov 30, 2022 | +5.0% | ✕ wrong |
| Mar 31, 2021 | IN | C$15.42 | Oct 31, 2022 | +14.4% | ✓ right |
| Nov 30, 2020 | OUT | C$13.98 | Mar 31, 2021 | +10.3% | ✕ wrong |
| Aug 31, 2020 | IN | C$15.68 | Nov 30, 2020 | −10.8% | ✕ wrong |
| Apr 30, 2020 | OUT | C$12.87 | Aug 31, 2020 | +21.8% | ✕ wrong |
| Jun 29, 2018 | IN | C$10.17 | Apr 30, 2020 | +26.5% | ✓ right |
| Mar 29, 2018 | OUT | C$9.46 | Jun 29, 2018 | +7.6% | ✕ 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 19 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.