Momentum · month-end rule · Energy & power
12-1 Momentum on Northland Power
What the play says
Latest reading: 12-1 return −7.8%
NPI 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 NPI over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.2% | +8.4% | −7.3% | −7.6% |
| Total return | +200% | +466% | −31% | −33% |
| Worst drawdown | −58.0% | −62.1% | −49.1% | −59.7% |
| Volatility | 21.2% | 25.2% | 19.0% | 28.2% |
| Sharpe ratio | 0.26 | 0.38 | −0.49 | −0.27 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 12 of 39 closed calls (31%). In calls averaged +7.9%; out calls saw NPI move +5.1% on average.
| Called | Call | Price | Until | NPI moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$22.58 | now | −1.7% | open |
| Mar 31, 2026 | IN | C$22.96 | Sep 30, 2026 | −1.7% | ✕ wrong |
| Feb 27, 2026 | OUT | C$21.45 | Mar 31, 2026 | +7.0% | ✕ wrong |
| Aug 29, 2025 | IN | C$21.32 | Feb 27, 2026 | +0.6% | ✓ right |
| Dec 31, 2024 | OUT | C$16.48 | Aug 29, 2025 | +29.4% | ✕ wrong |
| Oct 31, 2024 | IN | C$19.28 | Dec 31, 2024 | −14.5% | ✕ wrong |
| Feb 28, 2023 | OUT | C$27.78 | Oct 31, 2024 | −30.6% | ✓ right |
| Aug 31, 2022 | IN | C$37.08 | Feb 28, 2023 | −25.1% | ✕ wrong |
| May 31, 2022 | OUT | C$31.41 | Aug 31, 2022 | +18.1% | ✕ wrong |
| Apr 29, 2022 | IN | C$31.66 | May 31, 2022 | −0.8% | ✕ wrong |
| Oct 29, 2021 | OUT | C$31.99 | Apr 29, 2022 | −1.0% | ✓ right |
| Feb 28, 2019 | IN | C$18.20 | Oct 29, 2021 | +75.8% | ✓ 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 40 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.