Momentum · month-end rule · Energy & power
12-1 Momentum on Imperial Oil
What the play says
Latest reading: 12-1 return 46.6%
IMO 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 IMO over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.2% | +11.3% | +35.0% | +37.8% |
| Total return | +890% | +915% | +345% | +394% |
| Worst drawdown | −48.7% | −78.7% | −26.6% | −26.6% |
| Volatility | 23.4% | 31.7% | 29.9% | 30.1% |
| Sharpe ratio | 0.49 | 0.44 | 1.03 | 1.09 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 13 of 26 closed calls (50%). In calls averaged +24.2%; out calls saw IMO move +0.8% on average.
| Called | Call | Price | Until | IMO moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | IN | C$105.35 | now | +74.4% | open |
| May 30, 2025 | OUT | C$94.74 | Jun 30, 2025 | +11.2% | ✕ wrong |
| Mar 31, 2021 | IN | C$26.54 | May 30, 2025 | +256.9% | ✓ right |
| Apr 30, 2019 | OUT | C$31.81 | Mar 31, 2021 | −16.6% | ✓ right |
| Feb 28, 2019 | IN | C$28.97 | Apr 30, 2019 | +9.8% | ✓ right |
| Jan 31, 2019 | OUT | C$30.31 | Feb 28, 2019 | −4.4% | ✓ right |
| May 31, 2018 | IN | C$34.17 | Jan 31, 2019 | −11.3% | ✕ wrong |
| Mar 31, 2017 | OUT | C$31.94 | May 31, 2018 | +7.0% | ✕ wrong |
| Nov 30, 2016 | IN | C$36.12 | Mar 31, 2017 | −11.6% | ✕ wrong |
| Jun 30, 2015 | OUT | C$37.13 | Nov 30, 2016 | −2.7% | ✓ right |
| May 29, 2015 | IN | C$37.44 | Jun 30, 2015 | −0.8% | ✕ wrong |
| Feb 27, 2015 | OUT | C$36.92 | May 29, 2015 | +1.4% | ✕ 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 27 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.