Momentum · month-end rule · Energy & power
12-1 Momentum on Kelt Exploration
What the play says
Latest reading: 12-1 return 54.1%
KEL 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 2014
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding KEL over exactly the same dates, after costs.
| Play, since 2014 | Hold, since 2014 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −1.8% | −1.1% | +5.5% | +19.2% |
| Total return | −20% | −13% | +31% | +140% |
| Worst drawdown | −74.1% | −94.8% | −61.9% | −46.1% |
| Volatility | 31.5% | 52.9% | 36.3% | 40.3% |
| Sharpe ratio | 0.04 | 0.21 | 0.23 | 0.54 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 6 of 14 closed calls (43%). In calls averaged −4.0%; out calls saw KEL move +4.7% on average.
| Called | Call | Price | Until | KEL moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$7.67 | now | +46.2% | open |
| Nov 28, 2025 | OUT | C$7.79 | Dec 31, 2025 | −1.5% | ✓ right |
| Jun 30, 2025 | IN | C$7.34 | Nov 28, 2025 | +6.1% | ✓ right |
| May 30, 2025 | OUT | C$6.68 | Jun 30, 2025 | +9.9% | ✕ wrong |
| Dec 31, 2024 | IN | C$7.02 | May 30, 2025 | −4.8% | ✕ wrong |
| Jul 31, 2024 | OUT | C$6.05 | Dec 31, 2024 | +16.0% | ✕ wrong |
| Aug 31, 2023 | IN | C$7.02 | Jul 31, 2024 | −13.8% | ✕ wrong |
| Jan 31, 2023 | OUT | C$4.57 | Aug 31, 2023 | +53.6% | ✕ wrong |
| Mar 31, 2021 | IN | C$2.66 | Jan 31, 2023 | +71.8% | ✓ right |
| Feb 28, 2020 | OUT | C$3.20 | Mar 31, 2021 | −16.9% | ✓ right |
| Jan 31, 2020 | IN | C$3.80 | Feb 28, 2020 | −15.8% | ✕ wrong |
| Nov 30, 2018 | OUT | C$4.38 | Jan 31, 2020 | −13.2% | ✓ 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 15 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.