Momentum · month-end rule · Energy & power
12-1 Momentum on NexGen Energy
What the play says
Latest reading: 12-1 return 16.4%
NXE 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 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding NXE over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +28.8% | +29.5% | +4.7% | +9.7% |
| Total return | +1,581% | +1,675% | +26% | +59% |
| Worst drawdown | −49.5% | −81.0% | −43.1% | −53.5% |
| Volatility | 49.7% | 59.8% | 47.2% | 54.3% |
| Sharpe ratio | 0.71 | 0.69 | 0.25 | 0.37 |
| Time invested | 66% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 7 of 12 closed calls (58%). In calls averaged +77.7%; out calls saw NXE move +2.8% on average.
| Called | Call | Price | Until | NXE moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | IN | C$9.30 | now | +29.8% | open |
| Jan 31, 2025 | OUT | C$9.49 | Jul 31, 2025 | −2.0% | ✓ right |
| Oct 31, 2024 | IN | C$10.24 | Jan 31, 2025 | −7.3% | ✕ wrong |
| Sep 30, 2024 | OUT | C$8.82 | Oct 31, 2024 | +16.1% | ✕ wrong |
| Jun 30, 2023 | IN | C$6.25 | Sep 30, 2024 | +41.1% | ✓ right |
| Feb 28, 2023 | OUT | C$5.75 | Jun 30, 2023 | +8.7% | ✕ wrong |
| Dec 30, 2022 | IN | C$5.99 | Feb 28, 2023 | −4.0% | ✕ wrong |
| Jul 29, 2022 | OUT | C$5.58 | Dec 30, 2022 | +7.3% | ✕ wrong |
| Aug 31, 2020 | IN | C$2.58 | Jul 29, 2022 | +116.3% | ✓ right |
| Nov 30, 2018 | OUT | C$2.84 | Aug 31, 2020 | −9.2% | ✓ right |
| Oct 31, 2018 | IN | C$2.70 | Nov 30, 2018 | +5.2% | ✓ right |
| Jan 31, 2018 | OUT | C$2.82 | Oct 31, 2018 | −4.3% | ✓ 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 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.