Momentum · month-end rule · Energy & power
12-1 Momentum on Keyera
What the play says
Latest reading: 12-1 return 32.8%
KEY 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 KEY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.6% | +16.2% | +17.6% | +17.8% |
| Total return | +980% | +2,457% | +124% | +126% |
| Worst drawdown | −74.9% | −73.1% | −21.0% | −20.1% |
| Volatility | 25.1% | 28.6% | 20.2% | 21.1% |
| Sharpe ratio | 0.50 | 0.61 | 0.72 | 0.70 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 15 of 36 closed calls (42%). In calls averaged +18.9%; out calls saw KEY move +6.0% on average.
| Called | Call | Price | Until | KEY moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$42.72 | now | +28.7% | open |
| Nov 28, 2025 | OUT | C$43.31 | Dec 31, 2025 | −1.4% | ✓ right |
| Aug 31, 2023 | IN | C$28.42 | Nov 28, 2025 | +52.4% | ✓ right |
| Jul 31, 2023 | OUT | C$28.10 | Aug 31, 2023 | +1.1% | ✕ wrong |
| Jun 30, 2023 | IN | C$26.01 | Jul 31, 2023 | +8.1% | ✓ right |
| Apr 28, 2023 | OUT | C$26.73 | Jun 30, 2023 | −2.7% | ✓ right |
| Nov 30, 2022 | IN | C$25.71 | Apr 28, 2023 | +3.9% | ✓ right |
| Oct 31, 2022 | OUT | C$23.82 | Nov 30, 2022 | +7.9% | ✕ wrong |
| Aug 31, 2022 | IN | C$26.12 | Oct 31, 2022 | −8.8% | ✕ wrong |
| Jul 29, 2022 | OUT | C$26.65 | Aug 31, 2022 | −2.0% | ✓ right |
| Mar 31, 2021 | IN | C$19.28 | Jul 29, 2022 | +38.2% | ✓ right |
| Apr 30, 2020 | OUT | C$14.12 | Mar 31, 2021 | +36.5% | ✕ 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 37 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.