Momentum · month-end rule · Energy & power
12-1 Momentum on Hydro One
What the play says
Latest reading: 12-1 return 9.5%
H 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 2016
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding H over exactly the same dates, after costs.
| Play, since 2016 | Hold, since 2016 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.9% | +12.6% | +13.4% | +14.7% |
| Total return | +229% | +221% | +87% | +98% |
| Worst drawdown | −27.7% | −27.7% | −17.1% | −17.1% |
| Volatility | 15.2% | 16.1% | 14.9% | 15.0% |
| Sharpe ratio | 0.71 | 0.66 | 0.66 | 0.74 |
| Time invested | 82% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 5 of 8 closed calls (62%). In calls averaged +30.0%; out calls saw H move +0.1% on average.
| Called | Call | Price | Until | H moved | Result |
|---|---|---|---|---|---|
| Dec 29, 2023 | IN | C$36.88 | now | +41.6% | open |
| Nov 30, 2023 | OUT | C$34.78 | Dec 29, 2023 | +6.1% | ✕ wrong |
| Feb 28, 2019 | IN | C$16.10 | Nov 30, 2023 | +115.9% | ✓ right |
| Dec 29, 2017 | OUT | C$16.70 | Feb 28, 2019 | −3.5% | ✓ right |
| Nov 30, 2017 | IN | C$16.79 | Dec 29, 2017 | −0.5% | ✕ wrong |
| Jun 30, 2017 | OUT | C$16.98 | Nov 30, 2017 | −1.2% | ✓ right |
| Apr 28, 2017 | IN | C$17.41 | Jun 30, 2017 | −2.5% | ✕ wrong |
| Mar 31, 2017 | OUT | C$17.56 | Apr 28, 2017 | −0.9% | ✓ right |
| Nov 30, 2016 | IN | C$16.42 | Mar 31, 2017 | +7.0% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 9 of 9 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.