Momentum · month-end rule · Energy & power
12-1 Momentum on International Petroleum
What the play says
Latest reading: 12-1 return 49.9%
IPCO 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 2018
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding IPCO over exactly the same dates, after costs.
| Play, since 2018 | Hold, since 2018 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +18.0% | +24.4% | +32.4% | +38.9% |
| Total return | +304% | +527% | +304% | +414% |
| Worst drawdown | −67.3% | −84.0% | −36.6% | −36.6% |
| Volatility | 35.0% | 48.6% | 38.9% | 40.9% |
| Sharpe ratio | 0.57 | 0.64 | 0.82 | 0.92 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 5 of 12 closed calls (42%). In calls averaged +22.5%; out calls saw IPCO move +9.1% on average.
| Called | Call | Price | Until | IPCO moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2024 | IN | C$16.81 | now | +125.0% | open |
| Nov 29, 2024 | OUT | C$15.87 | Dec 31, 2024 | +5.9% | ✕ wrong |
| Dec 29, 2023 | IN | C$15.77 | Nov 29, 2024 | +0.6% | ✓ right |
| Oct 31, 2023 | OUT | C$14.49 | Dec 29, 2023 | +8.8% | ✕ wrong |
| Sep 29, 2023 | IN | C$12.93 | Oct 31, 2023 | +12.1% | ✓ right |
| May 31, 2023 | OUT | C$11.42 | Sep 29, 2023 | +13.2% | ✕ wrong |
| Mar 31, 2021 | IN | C$4.15 | May 31, 2023 | +175.2% | ✓ right |
| Feb 28, 2020 | OUT | C$4.43 | Mar 31, 2021 | −6.3% | ✓ right |
| Dec 31, 2019 | IN | C$5.72 | Feb 28, 2020 | −22.6% | ✕ wrong |
| May 31, 2019 | OUT | C$5.79 | Dec 31, 2019 | −1.2% | ✓ right |
| Mar 29, 2019 | IN | C$6.23 | May 31, 2019 | −7.1% | ✕ wrong |
| Nov 30, 2018 | OUT | C$4.64 | Mar 29, 2019 | +34.3% | ✕ 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 13 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.